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Short-term relative arbitrage in volatility-stabilized markets

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  • Adrian Banner
  • Daniel Fernholz

Abstract

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Suggested Citation

  • Adrian Banner & Daniel Fernholz, 2008. "Short-term relative arbitrage in volatility-stabilized markets," Annals of Finance, Springer, vol. 4(4), pages 445-454, October.
    • Handle: RePEc:kap:annfin:v:4:y:2008:i:4:p:445-454
    DOI: 10.1007/s10436-007-0085-z
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    References listed on IDEAS

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    1. 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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    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
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    Cited by:

    1. E. Robert Fernholz & Ioannis Karatzas & Johannes Ruf, 2016. "Volatility and Arbitrage," Papers 1608.06121, arXiv.org.
    2. Christa Cuchiero, 2017. "Polynomial processes in stochastic portfolio theory," Papers 1705.03647, arXiv.org.
    3. Robert Fernholz, 2015. "An example of short-term relative arbitrage," Papers 1510.02292, arXiv.org.
    4. Radka Picková, 2014. "Generalized volatility-stabilized processes," Annals of Finance, Springer, vol. 10(1), pages 101-125, February.
    5. 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.
    6. Ting-Kam Leonard Wong, 2014. "Optimization of relative arbitrage," Papers 1407.8300, arXiv.org, revised Nov 2014.
    7. Andrey Sarantsev, 2014. "On a class of diverse market models," Annals of Finance, Springer, vol. 10(2), pages 291-314, May.
    8. Shkolnikov, Mykhaylo, 2013. "Large volatility-stabilized markets," Stochastic Processes and their Applications, Elsevier, vol. 123(1), pages 212-228.
    9. Soumik Pal, 2016. "Exponentially concave functions and high dimensional stochastic portfolio theory," Papers 1603.01865, arXiv.org, revised Mar 2016.
    10. Daniel Fernholz & Ioannis Karatzas, 2010. "On optimal arbitrage," Papers 1010.4987, arXiv.org.
    11. Yves-Laurent Kom Samo & Alexander Vervuurt, 2016. "Stochastic Portfolio Theory: A Machine Learning Perspective," Papers 1605.02654, arXiv.org.
    12. Ting-Kam Wong, 2015. "Optimization of relative arbitrage," Annals of Finance, Springer, vol. 11(3), pages 345-382, November.
    13. Ting-Kam Leonard Wong, 2017. "On portfolios generated by optimal transport," Papers 1709.03169, arXiv.org, revised Sep 2017.
    14. Winslow Strong, 2012. "Generalizations of Functionally Generated Portfolios with Applications to Statistical Arbitrage," Papers 1212.1877, arXiv.org, revised Oct 2013.
    15. Soumik Pal & Ting-Kam Leonard Wong, 2016. "Exponentially concave functions and a new information geometry," Papers 1605.05819, arXiv.org, revised May 2017.
    16. Soumik Pal & Ting-Kam Leonard Wong, 2014. "The geometry of relative arbitrage," Papers 1402.3720, arXiv.org, revised Jul 2015.
    17. Alexander Vervuurt, 2015. "Topics in Stochastic Portfolio Theory," Papers 1504.02988, arXiv.org.
    18. Alexander Vervuurt & Ioannis Karatzas, 2015. "Diversity-weighted portfolios with negative parameter," Annals of Finance, Springer, vol. 11(3), pages 411-432, November.

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    More about this item

    Keywords

    Portfolios; Portfolio generating functions; Continuous semimartingales; G10;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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