Probabilistic aspects of arbitrage

DOI10.1007/978-3-642-03479-4_1zbMATH Open1217.91218OpenAlexW2212758982MaRDI QIDQ3000873FDOQ3000873

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

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Mathematics Subject Classification ID

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

Cited In (16)

• Polynomial processes in stochastic portfolio theory
• Title not available (Why is that?)
• Trading probabilities along cycles
• Outperforming the market portfolio with a given probability
• General Arbitrage Pricing Model: I – Probability Approach
• Optimal arbitrage under model uncertainty
• Generalized statistical arbitrage concepts and related gain strategies
• Arbitrage theory
• On optimal arbitrage
• Ergodic robust maximization of asymptotic growth
• Statistical arbitrage with default and collateral
• BENCHMARKED RISK MINIMIZATION
• Arbitrage Values Generally Depend On A Parametric Rate of Return
• Detection of arbitrage opportunities in multi-asset derivatives markets
• Arbitrage approximation theory
• Robust maximization of asymptotic growth

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