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 InfoPaper provided by Economics, The University of Manchester in its series The School of Economics Discussion Paper Series with number 0619.
Date of creation: 2006
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Other versions of this item:
- 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-hoppe, 2007.
"Volatility-induced financial growth,"
Taylor and Francis Journals, vol. 7(2), pages 151-160.
- Igor V. Evstigneev & Michal A. H. Dempster & Klaus R. Schenk-Hoppé, 2003. "Exponential growth of fixed-mix strategies in stationary asset markets," Finance and Stochastics, Springer, vol. 7(2), pages 263-276.
- Fernholz, Robert & Shay, Brian, 1982. " Stochastic Portfolio Theory and Stock Market Equilibrium," Journal of Finance, American Finance Association, vol. 37(2), pages 615-24, May.
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- Cantor, David G & Lippman, Steven A, 1995. "Optimal Investment Selection with a Multitude of Projects," Econometrica, Econometric Society, vol. 63(5), pages 1231-40, September.
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