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Stochastic Market Efficiency

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  • Ole Peters
  • Alexander Adamou

Abstract

It is argued that the simple trading strategy of leveraging or deleveraging an investment in the market portfolio cannot outperform the market. Such stochastic market efficiency places strong constraints on the possible stochastic properties of the market. Historical data confirm the hypothesis.

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File URL: http://arxiv.org/pdf/1101.4548
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Bibliographic Info

Paper provided by arXiv.org in its series Papers with number 1101.4548.

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Date of creation: Jan 2011
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Handle: RePEc:arx:papers:1101.4548

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Web page: http://arxiv.org/

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