Short-term relative arbitrage in volatility-stabilized markets

DOI10.1007/s10436-007-0085-zzbMath1233.91234OpenAlexW2106459003MaRDI QIDQ665831

Adrian D. Banner, Daniel Fernholz

Publication date: 6 March 2012

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

Full work available at URL: https://doi.org/10.1007/s10436-007-0085-z

zbMATH Keywords

portfolioscontinuous semimartingalesportfolio generating functions

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Generalizations of martingales (60G48) Portfolio theory (91G10)

Related Items (16)

The geometry of relative arbitrage ⋮ Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management ⋮ Relative arbitrage: Sharp time horizons and motion by curvature ⋮ Robust asymptotic growth in stochastic portfolio theory under long‐only constraints ⋮ Optimization of relative arbitrage ⋮ Diversity-weighted portfolios with negative parameter ⋮ Diversity and arbitrage in a regulatory breakup model ⋮ Generalized volatility-stabilized processes ⋮ On a class of diverse market models ⋮ A stock market model based on CAPM and market size ⋮ Exponentially concave functions and a new information geometry ⋮ Volatility and arbitrage ⋮ Polynomial processes in stochastic portfolio theory ⋮ Exponentially concave functions and high dimensional stochastic portfolio theory ⋮ On optimal arbitrage ⋮ Information Geometry in Portfolio Theory

Cites Work

• Unnamed Item
• Relative arbitrage in volatility-stabilized markets
• Diversity and relative arbitrage in equity markets

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