Balance, growth and diversity of financial markets
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References listed on IDEAS
- 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.
- Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
- Fama, Eugene F & MacBeth, James D, 1974. "Long-Term Growth in a Short-Term Market," Journal of Finance, American Finance Association, vol. 29(3), pages 857-885, June.
- Roll, Richard, 1973. "Evidence on the "Growth-Optimum" Model," Journal of Finance, American Finance Association, vol. 28(3), pages 551-566, June.
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Cited by:
- Johannes Ruf, 2010. "Hedging under arbitrage," Papers 1003.4797, arXiv.org, revised May 2011.
- Mikhail Zhitlukhin, 2022. "Optimal growth strategies for a representative agent in a continuous-time asset market," Papers 2211.05316, arXiv.org.
- Andrey Sarantsev, 2014. "On a class of diverse market models," Annals of Finance, Springer, vol. 10(2), pages 291-314, May.
- Andrey Sarantsev, 2017. "Reflected Brownian Motion in a Convex Polyhedral Cone: Tail Estimates for the Stationary Distribution," Journal of Theoretical Probability, Springer, vol. 30(3), pages 1200-1223, September.
- Alexander Vervuurt, 2015. "Topics in Stochastic Portfolio Theory," Papers 1504.02988, arXiv.org.
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