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Arbitrage Opportunities in Diverse Markets via a Non-equivalent Measure Change

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  • Jörg Osterrieder
  • Thorsten Rheinländer

Abstract

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Suggested Citation

  • Jörg Osterrieder & Thorsten Rheinländer, 2006. "Arbitrage Opportunities in Diverse Markets via a Non-equivalent Measure Change," Annals of Finance, Springer, vol. 2(3), pages 287-301, July.
    • Handle: RePEc:kap:annfin:v:2:y:2006:i:3:p:287-301
    DOI: 10.1007/s10436-006-0037-z
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    References listed on IDEAS

    as
    1. Robert Fernholz & Ioannis Karatzas & Constantinos Kardaras, 2005. "Diversity and relative arbitrage in equity markets," Finance and Stochastics, Springer, vol. 9(1), pages 1-27, January.
    2. Fernholz, Robert, 1999. "On the diversity of equity markets," Journal of Mathematical Economics, Elsevier, vol. 31(3), pages 393-417, April.
    3. Föllmer, Hans & Kramkov, D. O., 1997. "Optional decompositions under constraints," SFB 373 Discussion Papers 1997,31, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Winslow Strong & Jean-Pierre Fouque, 2011. "Diversity and arbitrage in a regulatory breakup model," Annals of Finance, Springer, vol. 7(3), pages 349-374, August.
    2. Johannes Ruf & Wolfgang Runggaldier, 2013. "A Systematic Approach to Constructing Market Models With Arbitrage," Papers 1309.1988, arXiv.org, revised Dec 2013.
    3. Alexander Vervuurt & Ioannis Karatzas, 2015. "Diversity-Weighted Portfolios with Negative Parameter," Papers 1504.01026, arXiv.org, revised Jul 2015.
    4. Andrey Sarantsev, 2014. "On a class of diverse market models," Annals of Finance, Springer, vol. 10(2), pages 291-314, May.
    5. Alexander Vervuurt, 2015. "Topics in Stochastic Portfolio Theory," Papers 1504.02988, arXiv.org.
    6. Claudio Fontana, 2013. "No-arbitrage conditions and absolutely continuous changes of measure," Papers 1312.4296, arXiv.org, revised Mar 2014.
    7. Alexander Vervuurt & Ioannis Karatzas, 2015. "Diversity-weighted portfolios with negative parameter," Annals of Finance, Springer, vol. 11(3), pages 411-432, November.
    8. Attila Herczegh & Vilmos Prokaj & Mikl'os R'asonyi, 2013. "Diversity and no arbitrage," Papers 1301.4173, arXiv.org, revised Aug 2014.
    9. Huy N. Chau & Peter Tankov, 2013. "Market models with optimal arbitrage," Papers 1312.4979, arXiv.org.
    10. Kardaras, Constantinos & Robertson, Scott, 2012. "Robust maximization of asymptotic growth," LSE Research Online Documents on Economics 44994, London School of Economics and Political Science, LSE Library.

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    More about this item

    Keywords

    Admissible strategies; Arbitrage opportunities; Diverse markets; Financial markets; Incomplete markets; Measure change; Optional decomposition theorem; Stochastic exponential; G10;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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