Relative arbitrage in volatility-stabilized markets
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Publication:665537
DOI10.1007/s10436-004-0011-6zbMath1233.91244OpenAlexW1963490892MaRDI QIDQ665537
Ioannis Karatzas, E. Robert Fernholz
Publication date: 5 March 2012
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-004-0011-6
stochastic differential equationsBessel processesdiversityportfoliostime-changestrict local martingalesrelative arbitragevolatility-stabilized markets
Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80) Portfolio theory (91G10)
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