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)

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Cited in

(16)

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

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