Time-consistent asymptotic exponential arbitrage with small probable maximum loss

DOI10.1007/S11401-019-0147-3zbMATH Open1417.91464OpenAlexW2950939016WikidataQ115602302 ScholiaQ115602302MaRDI QIDQ2002169FDOQ2002169

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

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zbMATH Keywords

asymptotic arbitragetime-consistentsmall probable maximum loss

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Title not available (Why is that?)
• On the minimal martingale measure and the möllmer-schweizer decomposition
• Asymptotic arbitrage and large deviations
• A note on asymptotic exponential arbitrage with exponentially decaying failure probability

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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