Probabilistic aspects of arbitrage

DOI10.1007/978-3-642-03479-4_1MaRDI QIDQ3000873zbMATH OpenOpenAlexFDO

Authors Daniel Fernholz, Ioannis Karatzas

Publication date 31 May 2011

Published in Contemporary Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-03479-4_1

Mathematics Subject Classification ID

Portfolio theory (91G10) Financial applications of other theories (91G80)

Recommendations

• On optimal arbitrage
• On long-term arbitrage opportunities in Markovian models of financial markets
• Optimization of relative arbitrage
• The geometry of relative arbitrage
• Optimal arbitrage under model uncertainty

Cited in

(17)

• Arbitrage approximation theory
• Polynomial processes in stochastic portfolio theory
• Trading probabilities along cycles
• Ergodic robust maximization of asymptotic growth
• Detection of arbitrage opportunities in multi-asset derivatives markets
• Arbitrage theory
• Arbitrage Values Generally Depend On A Parametric Rate of Return
• scientific article; zbMATH DE number 1492079 (Why is no real title available?)
• Outperforming the market portfolio with a given probability
• Robust maximization of asymptotic growth
• General Arbitrage Pricing Model: I – Probability Approach
• BENCHMARKED RISK MINIMIZATION
• Generalized statistical arbitrage concepts and related gain strategies
• Optimal arbitrage under model uncertainty
• Macroscopic properties of equity markets: stylized facts and portfolio performance
• On optimal arbitrage
• Statistical arbitrage with default and collateral

This page was built for publication: Probabilistic aspects of arbitrage

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3000873)