Probabilistic Aspects of Arbitrage

DOI10.1007/978-3-642-03479-4_1zbMath1217.91218OpenAlexW2212758982MaRDI QIDQ3000873

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

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

Related Items (6)

Outperforming the market portfolio with a given probability ⋮ Robust maximization of asymptotic growth ⋮ Optimal arbitrage under model uncertainty ⋮ Ergodic robust maximization of asymptotic growth ⋮ Polynomial processes in stochastic portfolio theory ⋮ BENCHMARKED RISK MINIMIZATION

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