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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. Andrey Sarantsev, 2014. "On a class of diverse market models," Annals of Finance, Springer, vol. 10(2), pages 291-314, May.
    3. Alexander Vervuurt & Ioannis Karatzas, 2015. "Diversity-Weighted Portfolios with Negative Parameter," Papers 1504.01026, arXiv.org, revised Jul 2015.
    4. Johannes Ruf & Wolfgang Runggaldier, 2013. "A Systematic Approach to Constructing Market Models With Arbitrage," Papers 1309.1988, arXiv.org, revised Dec 2013.
    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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