Simple arbitrage
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Publication:691114
DOI10.1214/11-AAP830zbMath1266.91092arXiv1210.5391MaRDI QIDQ691114
Publication date: 29 November 2012
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1210.5391
Fractional processes, including fractional Brownian motion (60G22) Martingales with continuous parameter (60G44) Portfolio theory (91G10)
Related Items (11)
PREDICTION OF STOCK RETURNS MAY BE FALLACIOUS: A STOCHASTIC CONFIRMATION OF MALKIEL’S ASSERTION ON DARTBOARD INVESTMENTS ⋮ How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost ⋮ Volatility measurement with pockets of extreme return persistence ⋮ Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs ⋮ A càdlàg rough path foundation for robust finance ⋮ Remarks on simple arbitrage on markets with bid and ask prices ⋮ Absence of arbitrage in a general framework ⋮ Utility maximization problem with transaction costs: optimal dual processes and stability ⋮ No arbitrage and lead-lag relationships ⋮ Market Models with Optimal Arbitrage ⋮ Short Communication: A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios
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