Time-consistent asymptotic exponential arbitrage with small probable maximum loss

DOI10.1007/S11401-019-0147-3MaRDI QIDQ2002169zbMATH OpenOpenAlexWikidataFDO

Authors Jinfeng Li

Publication date 11 July 2019

Published in Chinese Annals of Mathematics. Series B (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11401-019-0147-3

zbMATH Keywords

asymptotic arbitragetime-consistentsmall probable maximum loss

Mathematics Subject Classification ID

Portfolio theory (91G10)

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• A note on asymptotic exponential arbitrage with exponentially decaying failure probability
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Cites work

• scientific article; zbMATH DE number 1158743 (Why is no real title available?)
• A note on asymptotic exponential arbitrage with exponentially decaying failure probability
• Asymptotic arbitrage and large deviations
• On the minimal martingale measure and the möllmer-schweizer decomposition

Cited in

(5)

• Asymptotic exponential arbitrage in the Schwartz commodity futures model
• Asymptotic arbitrage in the Heston model
• A note on asymptotic exponential arbitrage with exponentially decaying failure probability
• Risk control of mean-reversion time in statistical arbitrage
• Asymptotic linear arbitrage and utility-based asymptotic linear arbitrage in mean-reverting financial markets

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