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My bibliography Save this articleAsymptotic arbitrage and numéraire portfolios in large financial markets
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DOI: 10.1007/s00780-007-0056-2
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References listed on IDEAS
- Eckhard Platen, 2006.
"A Benchmark Approach To Finance,"
Mathematical Finance, Wiley Blackwell, vol. 16(1), pages 131-151, January.
- Eckhard Platen, 2004. "A Benchmark Approach to Finance," Research Paper Series 138, Quantitative Finance Research Centre, University of Technology, Sydney.
- Dirk Becherer, 2001. "The numeraire portfolio for unbounded semimartingales," Finance and Stochastics, Springer, vol. 5(3), pages 327-341.
- Goll, Thomas & Kallsen, Jan, 2000. "Optimal portfolios for logarithmic utility," Stochastic Processes and their Applications, Elsevier, vol. 89(1), pages 31-48, September.
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Cited by:
- Miklós Rásonyi, 2016. "On Optimal Strategies For Utility Maximizers In The Arbitrage Pricing Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(07), pages 1-12, November.
- Constantinos Kardaras, 2012. "Market viability via absence of arbitrage of the first kind," Finance and Stochastics, Springer, vol. 16(4), pages 651-667, October.
- Fatma Haba & Antoine Jacquier, 2015.
"Asymptotic Arbitrage In The Heston Model,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(08), pages 1-18, December.
- Fatma Haba & Antoine Jacquier, 2013. "Asymptotic arbitrage in the Heston model," Papers 1302.6491, arXiv.org, revised Apr 2014.
- Martin Mbele Bidima & Miklos Rasonyi, 2012. "On long-term arbitrage opportunities in Markovian models of financial markets," Annals of Operations Research, Springer, vol. 200(1), pages 131-146, November.
- Miklos Rasonyi, 2015. "Maximizing expected utility in the Arbitrage Pricing Model," Papers 1508.07761, arXiv.org, revised Mar 2017.
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More about this item
Keywords
Asymptotic arbitrage; Large market; Numéraire portfolio; Contiguity; Entire separation; Relative entropy; 91B24; 91B28; 60G30; G10;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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