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On the diversity of equity markets
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Cited by:
- Tuoyuan Cheng & Kan Chen, 2023. "A General Framework for Portfolio Construction Based on Generative Models of Asset Returns," Papers 2312.03294, arXiv.org.
- 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.
- Alexander Schied & Leo Speiser & Iryna Voloshchenko, 2016. "Model-free portfolio theory and its functional master formula," Papers 1606.03325, arXiv.org, revised May 2018.
- Christa Cuchiero, 2017. "Polynomial processes in stochastic portfolio theory," Papers 1705.03647, arXiv.org.
- Loretta Mastroeni, 2022. "Pricing Options with Vanishing Stochastic Volatility," Risks, MDPI, vol. 10(9), pages 1-16, September.
- Vladimir Vovk, 2017. "Non-stochastic portfolio theory," Papers 1712.09108, arXiv.org, revised Feb 2018.
- David Itkin & Martin Larsson, 2021. "On A Class Of Rank-Based Continuous Semimartingales," Papers 2104.04396, arXiv.org.
- Michael Heinrich Baumann, 2022. "Beating the market? A mathematical puzzle for market efficiency," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 279-325, June.
- Francesco Audrino & Robert Fernholz & Roberto Ferretti, 2007. "A Forecasting Model for Stock Market Diversity," Annals of Finance, Springer, vol. 3(2), pages 213-240, March.
- 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.
- Winslow Strong & Jean-Pierre Fouque, 2010. "Diversity and Arbitrage in a Regulatory Breakup Model," Papers 1003.5650, arXiv.org, revised Dec 2010.
- Ali Al-Aradi & Sebastian Jaimungal, 2018. "Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management," Papers 1803.05819, arXiv.org, revised Jul 2018.
- Sergio A. Almada Monter & Mykhaylo Shkolnikov & Jiacheng Zhang, 2018. "Dynamics of observables in rank-based models and performance of functionally generated portfolios," Papers 1802.03593, arXiv.org.
- Voudouris, Vlasios & Stasinopoulos, Dimitrios & Rigby, Robert & Di Maio, Carlo, 2011. "The ACEGES laboratory for energy policy: Exploring the production of crude oil," Energy Policy, Elsevier, vol. 39(9), pages 5480-5489, September.
- David Itkin & Martin Larsson, 2020. "Robust Asymptotic Growth in Stochastic Portfolio Theory under Long-Only Constraints," Papers 2009.08533, arXiv.org, revised Aug 2021.
- Soumik Pal, 2016. "Exponentially concave functions and high dimensional stochastic portfolio theory," Papers 1603.01865, arXiv.org, revised Mar 2016.
- Cuchiero, Christa, 2019. "Polynomial processes in stochastic portfolio theory," Stochastic Processes and their Applications, Elsevier, vol. 129(5), pages 1829-1872.
- David Itkin & Martin Larsson, 2021. "Open Markets and Hybrid Jacobi Processes," Papers 2110.14046, arXiv.org, revised Mar 2024.
- Ali Al-Aradi & Sebastian Jaimungal, 2018. "Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management," Applied Mathematical Finance, Taylor & Francis Journals, vol. 25(3), pages 268-294, May.
- Gianluca Oderda & Tony Berrada & Reda Jurg Messikh & Olivier Pictet, 2015. "Beta-arbitrage strategies: when do they work, and why?," Quantitative Finance, Taylor & Francis Journals, vol. 15(2), pages 185-203, February.
- Winslow Strong, 2012. "Generalizations of Functionally Generated Portfolios with Applications to Statistical Arbitrage," Papers 1212.1877, arXiv.org, revised Oct 2013.
- Huy N. Chau & Duy Nguyen & Thai Nguyen, 2024. "On short-time behavior of implied volatility in a market model with indexes," Papers 2402.16509, arXiv.org, revised Apr 2024.
- Pal, Soumik, 2019. "Exponentially concave functions and high dimensional stochastic portfolio theory," Stochastic Processes and their Applications, Elsevier, vol. 129(9), pages 3116-3128.
- 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.
- Alexander Vervuurt, 2015. "Topics in Stochastic Portfolio Theory," Papers 1504.02988, arXiv.org.
- David Itkin & Martin Larsson, 2022. "Robust asymptotic growth in stochastic portfolio theory under long‐only constraints," Mathematical Finance, Wiley Blackwell, vol. 32(1), pages 114-171, January.
- Attila Herczegh & Vilmos Prokaj & Mikl'os R'asonyi, 2013. "Diversity and no arbitrage," Papers 1301.4173, arXiv.org, revised Aug 2014.