Asymptotic Exponential Arbitrage and Utility-based Asymptotic Arbitrage in Markovian Models of Financial Markets
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- Martin Mbele Bidima & Miklos Rasonyi, 2012. "On long-term arbitrage opportunities in Markovian models of financial markets," Annals of Operations Research, Springer, vol. 200(1), pages 131-146, November.
- Nikolai Dokuchaev, 2007. "Mean-Reverting Market Model: Speculative Opportunities and Non-Arbitrage," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(4), pages 319-337.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2014-06-28 (Financial Markets)
- NEP-UPT-2014-06-28 (Utility Models and Prospect Theory)
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