Relative arbitrage in volatility-stabilized markets

DOI10.1007/S10436-004-0011-6zbMath1233.91244OpenAlexW1963490892MaRDI QIDQ665537

Ioannis Karatzas, E. Robert Fernholz

Publication date: 5 March 2012

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

Full work available at URL: https://doi.org/10.1007/s10436-004-0011-6

zbMATH Keywords

stochastic differential equations Bessel processes diversity portfolios time-change strict local martingales relative arbitrage volatility-stabilized markets

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80) Portfolio theory (91G10)

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Cites Work

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