Diversity and relative arbitrage in equity markets
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Publication:1776022
DOI10.1007/s00780-004-0129-4zbMath1064.60132arXiv0803.3093OpenAlexW2119353074MaRDI QIDQ1776022
Ioannis Karatzas, Constantinos Kardaras, E. Robert Fernholz
Publication date: 20 May 2005
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0803.3093
order statisticsstochastic differential equationslocal timesfinancial marketsdiversityportfoliosstrict local martingalesrelative arbitrage
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Local time and additive functionals (60J55) Portfolio theory (91G10)
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