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An example of short-term relative arbitrage

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  • Robert Fernholz

Abstract

Long-term relative arbitrage exists in markets where the excess growth rate of the market portfolio is bounded away from zero. Here it is shown that under a time-homogeneity hypothesis this condition will also imply the existence of relative arbitrage over arbitrarily short intervals.

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  • Robert Fernholz, 2015. "An example of short-term relative arbitrage," Papers 1510.02292, arXiv.org.
    • Handle: RePEc:arx:papers:1510.02292
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    File URL: http://arxiv.org/pdf/1510.02292
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    References listed on IDEAS

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    1. Adrian Banner & Daniel Fernholz, 2008. "Short-term relative arbitrage in volatility-stabilized markets," Annals of Finance, Springer, vol. 4(4), pages 445-454, October.
    2. Robert Fernholz, 1999. "Portfolio Generating Functions," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar, chapter 15, pages 344-367, World Scientific Publishing Co. Pte. Ltd..
    3. Robert Fernholz & Ioannis Karatzas, 2005. "Relative arbitrage in volatility-stabilized markets," Annals of Finance, Springer, vol. 1(2), pages 149-177, November.
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    Cited by:

    1. Pal, Soumik, 2019. "Exponentially concave functions and high dimensional stochastic portfolio theory," Stochastic Processes and their Applications, Elsevier, vol. 129(9), pages 3116-3128.
    2. Soumik Pal, 2016. "Exponentially concave functions and high dimensional stochastic portfolio theory," Papers 1603.01865, arXiv.org, revised Mar 2016.
    3. Robert Fernholz, 2015. "Variations on an example of Karatzas and Ruf," Papers 1512.02478, arXiv.org.

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