Asymptotic arbitrage and large deviations
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Publication:941014
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- A general version of the fundamental theorem of asset pricing
- A large deviations approach to optimal long term investment
- A quantitative and a dual version of the Halmos-Savage theorem with applications to mathematical finance
- Arbitrage and equilibrium in economies with infinitely many commodities
- Arbitrage and investment opportunities
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- Asymptotic arbitrage in large financial markets
- Asymptotics of robust utility maximization
- Exponential growth of fixed-mix strategies in stationary asset markets
- FROM RAGS TO RICHES: ON CONSTANT PROPORTIONS INVESTMENT STRATEGIES
- Large deviations in estimation of an Ornstein-Uhlenbeck model
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Optimal long term growth rate of expected utility of wealth
- Optimum consumption and portfolio rules in a continuous-time model
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- The fundamental theorem of asset pricing for unbounded stochastic processes
- The mathematics of arbitrage
- The numeraire portfolio for unbounded semimartingale
Cited in
(22)- Invariant measures for multidimensional fractional stochastic volatility models
- Asymptotic arbitrage in large financial markets with friction
- Universal strategies for diffusion markets and possibility of asymptotic arbitrage
- Time-consistent asymptotic exponential arbitrage with small probable maximum loss
- An explicit solution for optimal investment problems with autoregressive prices and exponential utility
- Asymptotic exponential arbitrage and utility-based asymptotic arbitrage in Markovian models of financial markets
- A note on optimal consumption and investment in a geometric Ornstein-Uhlenbeck market
- Portfolios and risk premia for the long run
- Pricing for large positions in contingent claims
- Asymptotic arbitrage with small transaction costs
- Asymptotic linear arbitrage and utility-based asymptotic linear arbitrage in mean-reverting financial markets
- A note on asymptotic exponential arbitrage with exponentially decaying failure probability
- A free-model characterization of the asymptotic certainty equivalent by the Arrow-Pratt index
- Horizon dependence of utility optimizers in incomplete models
- Asymptotic exponential arbitrage in the Schwartz commodity futures model
- Large deviations and asymptotic methods in finance
- Large Financial Markets, Discounting, and No Asymptotic Arbitrage
- On long-term arbitrage opportunities in Markovian models of financial markets
- On optimal thresholds for pairs trading in a one-dimensional diffusion model
- Asymptotics of robust utility maximization
- Robust portfolios and weak incentives in long-run investments
- Asymptotic arbitrage in the Heston model
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