Asymptotic arbitrage and large deviations
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Publication:941014
DOI10.1007/S11579-008-0009-3zbMATH Open1153.91015OpenAlexW2143620550MaRDI QIDQ941014FDOQ941014
Authors: Hans Föllmer, Walter Schachermayer 
Publication date: 4 September 2008
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-008-0009-3
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Diffusion processes (60J60) Generalizations of martingales (60G48) Utility theory (91B16) Microeconomic theory (price theory and economic markets) (91B24)
Cites Work
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- Optimum consumption and portfolio rules in a continuous-time model
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- Arbitrage and investment opportunities
- Exponential growth of fixed-mix strategies in stationary asset markets
- FROM RAGS TO RICHES: ON CONSTANT PROPORTIONS INVESTMENT STRATEGIES
Cited In (22)
- Asymptotic exponential arbitrage in the Schwartz commodity futures model
- Horizon dependence of utility optimizers in incomplete models
- Asymptotic arbitrage in large financial markets with friction
- Time-consistent asymptotic exponential arbitrage with small probable maximum loss
- A note on optimal consumption and investment in a geometric Ornstein-Uhlenbeck market
- A free-model characterization of the asymptotic certainty equivalent by the Arrow-Pratt index
- Large deviations and asymptotic methods in finance
- Robust portfolios and weak incentives in long-run investments
- An explicit solution for optimal investment problems with autoregressive prices and exponential utility
- Asymptotic arbitrage in the Heston model
- A note on asymptotic exponential arbitrage with exponentially decaying failure probability
- Asymptotic arbitrage with small transaction costs
- Asymptotic exponential arbitrage and utility-based asymptotic arbitrage in Markovian models of financial markets
- Portfolios and risk premia for the long run
- Pricing for large positions in contingent claims
- Large Financial Markets, Discounting, and No Asymptotic Arbitrage
- On long-term arbitrage opportunities in Markovian models of financial markets
- Asymptotics of robust utility maximization
- Universal strategies for diffusion markets and possibility of asymptotic arbitrage
- On optimal thresholds for pairs trading in a one-dimensional diffusion model
- Asymptotic linear arbitrage and utility-based asymptotic linear arbitrage in mean-reverting financial markets
- Invariant measures for multidimensional fractional stochastic volatility models
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