Balance, growth and diversity of financial markets

DOI10.1007/s10436-007-0083-1zbMath1233.91339arXiv0803.1858OpenAlexW2112756426MaRDI QIDQ665825

Constantinos Kardaras

Publication date: 6 March 2012

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0803.1858

zbMATH Keywords

equivalent martingale measureefficiencyarbitragediversity

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Generalizations of martingales (60G48) Financial applications of other theories (91G80)

Related Items (5)

Diverse market models of competing Brownian particles with splits and mergers ⋮ Stochastic exponentials and logarithms on stochastic intervals. A survey ⋮ Reflected Brownian motion in a convex polyhedral cone: tail estimates for the stationary distribution ⋮ On a class of diverse market models ⋮ HEDGING UNDER ARBITRAGE

Cites Work

• Diversity and relative arbitrage in equity markets
• The numéraire portfolio in semimartingale financial models
• Stochastic Integration with Jumps
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