IDEAS home Printed from https://ideas.repec.org/a/kap/annfin/v4y2008i4p445-454.html
   My bibliography  Save this article

Short-term relative arbitrage in volatility-stabilized markets

Author

Listed:
  • Adrian Banner
  • Daniel Fernholz

Abstract

No abstract is available for this item.

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
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s10436-007-0085-z
    Download Restriction: Access to full text is restricted to subscribers.

    File URL: https://libkey.io/10.1007/s10436-007-0085-z?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Robert Fernholz & Ioannis Karatzas, 2005. "Relative arbitrage in volatility-stabilized markets," Annals of Finance, Springer, vol. 1(2), pages 149-177, November.
    Full references (including those not matched with items on IDEAS)

    Citations

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


    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.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Ioannis Karatzas & Johannes Ruf, 2017. "Trading strategies generated by Lyapunov functions," Finance and Stochastics, Springer, vol. 21(3), pages 753-787, July.
    2. Christa Cuchiero, 2017. "Polynomial processes in stochastic portfolio theory," Papers 1705.03647, arXiv.org.
    3. Eckhard Platen, 2011. "A Benchmark Approach to Investing and Pricing," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 28, pages 409-426, World Scientific Publishing Co. Pte. Ltd..
    4. Ashkan Nikeghbali & Eckhard Platen, 2008. "On Honest Times in Financial Modeling," Research Paper Series 229, Quantitative Finance Research Centre, University of Technology, Sydney.
    5. Alexander Schied & Leo Speiser & Iryna Voloshchenko, 2016. "Model-free portfolio theory and its functional master formula," Papers 1606.03325, arXiv.org, revised May 2018.
    6. Ioannis Karatzas & Constantinos Kardaras, 2007. "The numéraire portfolio in semimartingale financial models," Finance and Stochastics, Springer, vol. 11(4), pages 447-493, October.
    7. Gabriel Frahm, 2013. "Pricing and Valuation under the Real-World Measure," Papers 1304.3824, arXiv.org, revised Jan 2016.
    8. Soumik Pal, 2016. "Exponentially concave functions and high dimensional stochastic portfolio theory," Papers 1603.01865, arXiv.org, revised Mar 2016.
    9. Aleksandar Mijatović & Mikhail Urusov, 2012. "Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models," Finance and Stochastics, Springer, vol. 16(2), pages 225-247, April.
    10. Ting-Kam Leonard Wong, 2017. "On portfolios generated by optimal transport," Papers 1709.03169, arXiv.org, revised Sep 2017.
    11. Nicolas Bouleau & Christophe Chorro, 2015. "The impact of randomness on the distribution of wealth: Some economic aspects of the Wright-Fisher diffusion process," Documents de travail du Centre d'Economie de la Sorbonne 15024r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jul 2015.
    12. Ahdida, Abdelkoddousse & Alfonsi, Aurélien, 2013. "A mean-reverting SDE on correlation matrices," Stochastic Processes and their Applications, Elsevier, vol. 123(4), pages 1472-1520.
    13. Soumik Pal & Philip Protter, 2007. "Analysis of continuous strict local martingales via h-transforms," Papers 0711.1136, arXiv.org, revised Jun 2010.
    14. Paolo Guasoni & Scott Robertson, 2012. "Portfolios and risk premia for the long run," Papers 1203.1399, arXiv.org.
    15. Radka Picková, 2014. "Generalized volatility-stabilized processes," Annals of Finance, Springer, vol. 10(1), pages 101-125, February.
    16. Soumik Pal & Ting-Kam Leonard Wong, 2013. "Energy, entropy, and arbitrage," Papers 1308.5376, arXiv.org, revised Jan 2016.
    17. Andrey Sarantsev, 2014. "On a class of diverse market models," Annals of Finance, Springer, vol. 10(2), pages 291-314, May.
    18. Abdelkoddousse Ahdida & Aur'elien Alfonsi, 2011. "A Mean-Reverting SDE on Correlation matrices," Papers 1108.5264, arXiv.org, revised Feb 2012.
    19. Soumik Pal & Ting-Kam Leonard Wong, 2014. "The geometry of relative arbitrage," Papers 1402.3720, arXiv.org, revised Jul 2015.
    20. Daniel Fernholz & Ioannis Karatzas, 2012. "Optimal arbitrage under model uncertainty," Papers 1202.2999, arXiv.org.

    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)

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:annfin:v:4:y:2008:i:4:p:445-454. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.