Relative Arbitrage Opportunities in an Extended Mean Field System
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References listed on IDEAS
- Daniel Fernholz & Ioannis Karatzas, 2010. "On optimal arbitrage," Papers 1010.4987, arXiv.org.
- Ting-Kam Wong, 2015. "Optimization of relative arbitrage," Annals of Finance, Springer, vol. 11(3), pages 345-382, November.
- Daniel Lacker & Thaleia Zariphopoulou, 2019. "Mean field and n‐agent games for optimal investment under relative performance criteria," Mathematical Finance, Wiley Blackwell, vol. 29(4), pages 1003-1038, October.
- Thomas M. Cover, 1991. "Universal Portfolios," Mathematical Finance, Wiley Blackwell, vol. 1(1), pages 1-29, January.
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- Nicole Tianjiao Yang & Tomoyuki Ichiba, 2024. "Finding the nonnegative minimal solutions of Cauchy PDEs in a volatility-stabilized market," Papers 2411.13558, arXiv.org, revised May 2025.
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This paper has been announced in the following NEP Reports:- NEP-GTH-2023-12-04 (Game Theory)
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