Arbitrage in stationary markets
AbstractWe analyse questions of arbitrage in financial markets in which asset prices change in time as stationary stochastic processes. The main focus of the paper is on a model where the price vectors are independent and identically distributed. In the framework of this model, we find conditions that are necessary and suÂ¢ cient for the absence of arbitrage opportunities. We discuss the relations between the results obtained and the phenomenon of "volatility-induced growth"in stationary markets.
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Bibliographic InfoArticle provided by Springer in its journal Decisions in Economics and Finance.
Volume (Year): 32 (2009)
Issue (Month): 1 (May)
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Web page: http://link.springer.de/link/service/journals/10203/index.htm
Other versions of this item:
- Igor Evstigneev & Dhruv Kapoor, 2006. "Arbitrage in stationary markets," The School of Economics Discussion Paper Series 0619, Economics, The University of Manchester.
- Igor Evstigneev & Dhruv Kapoor, . "Arbitrage in Stationary Markets," Swiss Finance Institute Research Paper Series 07-32, Swiss Finance Institute.
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
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- Michael A.H. Dempster & Igor V. Evstigneev & Klaus R. Schenk-Hoppé, 2006.
"Volatility-Induced Financial Growth,"
The School of Economics Discussion Paper Series
0626, Economics, The University of Manchester.
- Ilan Adler & David Gale, 1997. "Arbitrage and Growth Rate for Riskless Investments in a Stationary Economy," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 73-81.
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