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On optimal arbitrage

Citations

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Cited by:

  1. Zihao Zhang & Stefan Zohren & Stephen Roberts, 2020. "Deep Learning for Portfolio Optimization," Papers 2005.13665, arXiv.org, revised Jan 2021.
  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. Kardaras, Constantinos & Kreher, Dörte & Nikeghbali, Ashkan, 2015. "Strict local martingales and bubbles," LSE Research Online Documents on Economics 64967, London School of Economics and Political Science, LSE Library.
  5. Erhan Bayraktar & Constantinos Kardaras & Hao Xing, 2012. "Strict local martingale deflators and valuing American call-type options," Finance and Stochastics, Springer, vol. 16(2), pages 275-291, April.
  6. Steven Campbell & Ting-Kam Leonard Wong, 2021. "Functional portfolio optimization in stochastic portfolio theory," Papers 2103.10925, arXiv.org, revised Oct 2021.
  7. Nicole Tianjiao Yang & Tomoyuki Ichiba, 2023. "Relative Arbitrage Opportunities in an Extended Mean Field System," Papers 2311.02690, arXiv.org, revised Oct 2024.
  8. Erhan Bayraktar & Constantinos Kardaras & Hao Xing, 2010. "Valuation equations for stochastic volatility models," Papers 1004.3299, arXiv.org, revised Dec 2011.
  9. Ting-Kam Leonard Wong, 2014. "Optimization of relative arbitrage," Papers 1407.8300, arXiv.org, revised Nov 2014.
  10. Constantinos Kardaras & Scott Robertson, 2018. "Ergodic robust maximization of asymptotic growth," Papers 1801.06425, arXiv.org.
  11. Arash Fahim & Yu-Jui Huang, 2016. "Model-independent superhedging under portfolio constraints," Finance and Stochastics, Springer, vol. 20(1), pages 51-81, January.
  12. Hugonnier, Julien, 2012. "Rational asset pricing bubbles and portfolio constraints," Journal of Economic Theory, Elsevier, vol. 147(6), pages 2260-2302.
  13. Ting-Kam Wong, 2015. "Optimization of relative arbitrage," Annals of Finance, Springer, vol. 11(3), pages 345-382, November.
  14. Ruf, Johannes, 2013. "A new proof for the conditions of Novikov and Kazamaki," Stochastic Processes and their Applications, Elsevier, vol. 123(2), pages 404-421.
  15. Huy N. Chau & Peter Tankov, 2013. "Market models with optimal arbitrage," Papers 1312.4979, arXiv.org.
  16. Martin Larsson & Johannes Ruf, 2020. "Relative Arbitrage: Sharp Time Horizons and Motion by Curvature," Papers 2003.13601, arXiv.org, revised Feb 2021.
  17. Aleksandar Mijatović & Mikhail Urusov, 2012. "Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models," Finance and Stochastics, Springer, vol. 16(2), pages 225-247, April.
  18. David Criens, 2016. "Deterministic Criteria for the Absence and Existence of Arbitrage in Multi-Dimensional Diffusion Markets," Papers 1609.01621, arXiv.org, revised Dec 2017.
  19. Jarrow, Robert & Protter, Philip, 2012. "Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory," Finance Research Letters, Elsevier, vol. 9(2), pages 58-62.
  20. Ngoc Huy Chau & Wolfgang Runggaldier & Peter Tankov, 2016. "Arbitrage and utility maximization in market models with an insider," Papers 1608.02068, arXiv.org, revised Sep 2016.
  21. Steven Campbell & Qien Song & Ting-Kam Leonard Wong, 2024. "Macroscopic properties of equity markets: stylized facts and portfolio performance," Papers 2409.10859, arXiv.org, revised Oct 2024.
  22. Arash Fahim & Yu-Jui Huang, 2016. "Model-independent superhedging under portfolio constraints," Finance and Stochastics, Springer, vol. 20(1), pages 51-81, January.
  23. David Criens, 2018. "Deterministic Criteria For The Absence And Existence Of Arbitrage In Multi-Dimensional Diffusion Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(01), pages 1-41, February.
  24. Qingshuo Song, 2011. "Approximating Functional of Local Martingale Under the Lack of Uniqueness of Black-Scholes PDE," Papers 1102.2285, arXiv.org, revised Sep 2012.
  25. Yukihiro Tsuzuki, 2023. "Pitman's Theorem, Black-Scholes Equation, and Derivative Pricing for Fundraisers," Papers 2303.13956, arXiv.org.
  26. Paolo Guasoni & Miklós Rásonyi, 2015. "Fragility of arbitrage and bubbles in local martingale diffusion models," Finance and Stochastics, Springer, vol. 19(2), pages 215-231, April.
  27. Alexander Vervuurt, 2015. "Topics in Stochastic Portfolio Theory," Papers 1504.02988, arXiv.org.
  28. Peter Carr & Travis Fisher & Johannes Ruf, 2014. "On the hedging of options on exploding exchange rates," Finance and Stochastics, Springer, vol. 18(1), pages 115-144, January.
  29. Theodoros M. Diasakos, 2011. "A Simple Characterization of Dynamic Completeness in Continuous Time," Carlo Alberto Notebooks 211, Collegio Carlo Alberto.
  30. Martin Larsson, 2013. "Non-Equivalent Beliefs and Subjective Equilibrium Bubbles," Papers 1306.5082, arXiv.org.
  31. Christa Cuchiero, 2017. "Polynomial processes in stochastic portfolio theory," Papers 1705.03647, arXiv.org.
  32. 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.
  33. Alexander Vervuurt & Ioannis Karatzas, 2015. "Diversity-weighted portfolios with negative parameter," Annals of Finance, Springer, vol. 11(3), pages 411-432, November.
  34. Cuchiero, Christa, 2019. "Polynomial processes in stochastic portfolio theory," Stochastic Processes and their Applications, Elsevier, vol. 129(5), pages 1829-1872.
  35. Johannes Ruf, 2010. "Hedging under arbitrage," Papers 1003.4797, arXiv.org, revised May 2011.
  36. Erhan Bayraktar & Yu-Jui Huang, 2011. "Robust maximization of asymptotic growth under covariance uncertainty," Papers 1107.2988, arXiv.org, revised Sep 2013.
  37. Martin Larsson & Johannes Ruf, 2021. "Relative arbitrage: Sharp time horizons and motion by curvature," Mathematical Finance, Wiley Blackwell, vol. 31(3), pages 885-906, July.
  38. Christa Cuchiero & Walter Schachermayer & Ting-Kam Leonard Wong, 2016. "Cover's universal portfolio, stochastic portfolio theory and the numeraire portfolio," Papers 1611.09631, arXiv.org.
  39. Protter, Philip, 2015. "Strict local martingales with jumps," Stochastic Processes and their Applications, Elsevier, vol. 125(4), pages 1352-1367.
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