In a continuous-path semimartingale market model , we perform an initial enlargement of the filtration  by including the overall minimum of the numeraire portfolio. We establish that all discounted asset-price processes, when stopped at the time of the overall minimum of the numeraire portfolio, become local martingales under the enlarged filtration. This implies that risk-averse insider traders would refrain from investing in the risky assets before that time. A partial converse to the previous result is also established  , showing that the time of the overall minimum of the numeraire portfolio is in a certain sense unique in rendering undesirable the act of undertaking risky positions before it. Our results shed light to the importance of the numeraire portfolio as an indicator of overall market performance.
A continuous-path semimartingale market model with wealth processes discounted by a riskless asset is considered. The numeraire portfolio is the unique strictly positive wealth process that, when used as a benchmark to denominate all other wealth, makes all wealth processes local martingales. It is assumed that the numeraire portfolio exists and that its wealth increases to infinity as time goes to infinity. Under this setting, an initial enlargement of the filtration is performed, by including the overall minimum of the numeraire portfolio. It is established that all nonnegative wealth processes, when stopped at the time of the overall minimum of the numeraire portfolio, become local martingales in the enlarged filtration. This implies that risk-averse insider traders would refrain from investing in the risky assets before that time. A partial converse to the previous result is also established in the case of complete markets , showing that the time of the overall minimum of the numeraire portfolio is in a certain sense unique in rendering undesirable the act of undertaking risky positions before it. The aforementioned results shed light to the importance of the numeraire portfolio as an indicator of overall market performance.
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