Diversity and arbitrage in a regulatory breakup model

DOI10.1007/s10436-010-0175-1zbMath1219.91161arXiv1003.5650OpenAlexW3123415023MaRDI QIDQ635965

Winslow Strong, Jean-Pierre Fouque

Publication date: 25 August 2011

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1003.5650

zbMATH Keywords

antitrustregulationequivalent martingale measurearbitragediversityrelative arbitrage

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Generalizations of martingales (60G48) Financial applications of other theories (91G80)

Related Items (5)

Diverse market models of competing Brownian particles with splits and mergers ⋮ Diversity-weighted portfolios with negative parameter ⋮ Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension ⋮ On a class of diverse market models ⋮ Dynamic contagion in a banking system with births and defaults

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