Arbitrage Opportunities in Diverse Markets via a Non-equivalent Measure Change
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References listed on IDEAS
- Robert Fernholz & Ioannis Karatzas & Constantinos Kardaras, 2005. "Diversity and relative arbitrage in equity markets," Finance and Stochastics, Springer, vol. 9(1), pages 1-27, January.
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- Föllmer, Hans & Kramkov, D. O., 1997. "Optional decompositions under constraints," SFB 373 Discussion Papers 1997,31, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Johannes Ruf & Wolfgang Runggaldier, 2013. "A Systematic Approach to Constructing Market Models With Arbitrage," Papers 1309.1988, arXiv.org, revised Dec 2013.
- Alexander Vervuurt & Ioannis Karatzas, 2015. "Diversity-Weighted Portfolios with Negative Parameter," Papers 1504.01026, arXiv.org, revised Jul 2015.
- Winslow Strong & Jean-Pierre Fouque, 2011.
"Diversity and arbitrage in a regulatory breakup model,"
Annals of Finance,
Springer, vol. 7(3), pages 349-374, August.
- Winslow Strong & Jean-Pierre Fouque, 2010. "Diversity and Arbitrage in a Regulatory Breakup Model," Papers 1003.5650, arXiv.org, revised Dec 2010.
- Attila Herczegh & Vilmos Prokaj & Mikl'os R'asonyi, 2013. "Diversity and no arbitrage," Papers 1301.4173, arXiv.org, revised Aug 2014.
- Huy N. Chau & Peter Tankov, 2013. "Market models with optimal arbitrage," Papers 1312.4979, arXiv.org.
- Alexander Vervuurt, 2015. "Topics in Stochastic Portfolio Theory," Papers 1504.02988, arXiv.org.
- Claudio Fontana, 2013. "No-arbitrage conditions and absolutely continuous changes of measure," Papers 1312.4296, arXiv.org, revised Mar 2014.
- Kardaras, Constantinos & Robertson, Scott, 2012. "Robust maximization of asymptotic growth," LSE Research Online Documents on Economics 44994, London School of Economics and Political Science, LSE Library.
- Alexander Vervuurt & Ioannis Karatzas, 2015. "Diversity-weighted portfolios with negative parameter," Annals of Finance, Springer, vol. 11(3), pages 411-432, November.
- Andrey Sarantsev, 2014. "On a class of diverse market models," Annals of Finance, Springer, vol. 10(2), pages 291-314, May.
More about this item
KeywordsAdmissible strategies; Arbitrage opportunities; Diverse markets; Financial markets; Incomplete markets; Measure change; Optional decomposition theorem; Stochastic exponential; G10;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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