Arbitrage in stationary markets
We analyse questions of arbitrage in financial markets in which asset prices change in time as stationary stochastic processes. The main focus of the paper is on a model where the price vectors are independent and identically distributed. In the framework of this model, we find conditions that are necessary and su¢ cient for the absence of arbitrage opportunities. We discuss the relations between the results obtained and the phenomenon of "volatility-induced growth"in stationary markets.
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- Ilan Adler & David Gale, 1997. "Arbitrage and Growth Rate for Riskless Investments in a Stationary Economy," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 73-81.
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- Michael A. H. Dempster & Igor V. Evstigneev & Klaus R. Schenk-hoppe, 2007.
"Volatility-induced financial growth,"
Taylor & Francis Journals, vol. 7(2), pages 151-160.
- Michael A.H. Dempster & Igor V. Evstigneev & Klaus R. Schenk-Hoppé, 2006. "Volatility-Induced Financial Growth," The School of Economics Discussion Paper Series 0626, Economics, The University of Manchester.
- Igor V. Evstigneev & Klaus Rainer Schenk-Hoppï¿½, "undated". "From Rags to Riches: On Constant Proportions Investment Strategies," IEW - Working Papers 089, Institute for Empirical Research in Economics - University of Zurich.
- Igor V. Evstigneev & Michal A. H. Dempster & Klaus R. Schenk-Hoppé, 2003. "Exponential growth of fixed-mix strategies in stationary asset markets," Finance and Stochastics, Springer, vol. 7(2), pages 263-276.
- Fernholz, Robert & Shay, Brian, 1982. " Stochastic Portfolio Theory and Stock Market Equilibrium," Journal of Finance, American Finance Association, vol. 37(2), pages 615-624, May. Full references (including those not matched with items on IDEAS)
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