Positive alphas, abnormal performance, and illusory arbitrage
DOI10.1111/J.1467-9965.2011.00489.XzbMATH Open1282.91117OpenAlexW3124230895MaRDI QIDQ4906513FDOQ4906513
Authors: Robert A. Jarrow, Philip Protter 
Publication date: 28 February 2013
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2011.00489.x
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Cites Work
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- An Intertemporal Capital Asset Pricing Model
- The fundamental theorem of asset pricing for unbounded stochastic processes
- A general version of the fundamental theorem of asset pricing
- Asset pricing for general processes
- An intertemporal asset pricing model with stochastic consumption and investment opportunities
- Risk-neutral compatibility with option prices
- Asset price bubbles in incomplete markets
- Analysis of continuous strict local martingales via \(h\)-transforms
- Correlation and the pricing of risks
Cited In (10)
- Positive alphas and a generalized multiple-factor asset pricing model
- Strict local martingales with jumps
- A novel methodology for perception-based portfolio management
- When do systematic strategies decay?
- Weak and strong no-arbitrage conditions for continuous financial markets
- How many good and bad funds are there, really?
- Filtration shrinkage, strict local martingales and the Föllmer measure
- Optional projection under equivalent local martingale measures
- An empirical investigation of large trader market manipulation in derivatives markets
- Martingale defects in the volatility surface and bubble conditions in the underlying
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