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Universal strategies for diffusion markets and possibility of asymptotic arbitrage

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  • Dokuchaev, N. G.
  • Savkin, Andrey V.

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  • Dokuchaev, N. G. & Savkin, Andrey V., 2004. "Universal strategies for diffusion markets and possibility of asymptotic arbitrage," Insurance: Mathematics and Economics, Elsevier, vol. 34(3), pages 409-419, June.
  • Handle: RePEc:eee:insuma:v:34:y:2004:i:3:p:409-419
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    References listed on IDEAS

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    1. repec:dau:papers:123456789/5630 is not listed on IDEAS
    2. Elyès Jouini, 2003. "Market imperfections , equilibrium and arbitrage," Post-Print halshs-00167131, HAL.
    3. repec:crs:wpaper:9513 is not listed on IDEAS
    4. Y.M. Kabanov & D.O. Kramkov, 1998. "Asymptotic arbitrage in large financial markets," Finance and Stochastics, Springer, vol. 2(2), pages 143-172.
    5. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
    6. Andrew W. Lo & Harry Mamaysky & Jiang Wang, 2000. "Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation," Journal of Finance, American Finance Association, vol. 55(4), pages 1705-1770, August.
    7. Kreps, David M., 1981. "Arbitrage and equilibrium in economies with infinitely many commodities," Journal of Mathematical Economics, Elsevier, vol. 8(1), pages 15-35, March.
    8. Duffie, Darrell & Huang, Chi-fu, 1986. "Multiperiod security markets with differential information : Martingales and resolution times," Journal of Mathematical Economics, Elsevier, vol. 15(3), pages 283-303, June.
    9. Dokuchaev, Nikolai G. & Savkin, Andrey V., 2002. "A bounded risk strategy for a market with non-observable parameters," Insurance: Mathematics and Economics, Elsevier, vol. 30(2), pages 243-254, April.
    10. Thomas M. Cover, 1991. "Universal Portfolios," Mathematical Finance, Wiley Blackwell, vol. 1(1), pages 1-29.
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