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Relative arbitrage in volatility-stabilized markets

Citations

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Cited by:

  1. E. Robert Fernholz & Ioannis Karatzas & Johannes Ruf, 2016. "Volatility and Arbitrage," Papers 1608.06121, arXiv.org.
  2. Alexander Schied & Leo Speiser & Iryna Voloshchenko, 2016. "Model-free portfolio theory and its functional master formula," Papers 1606.03325, arXiv.org, revised May 2018.
  3. Daniel Fernholz & Ioannis Karatzas, 2012. "Optimal arbitrage under model uncertainty," Papers 1202.2999, arXiv.org.
  4. Vassilios Papathanakos, 2016. "Portfolio Optimization in the Stochastic Portfolio Theory Framework," Papers 1601.07628, arXiv.org.
  5. Ioannis Karatzas & Johannes Ruf, 2017. "Trading strategies generated by Lyapunov functions," Finance and Stochastics, Springer, vol. 21(3), pages 753-787, July.
  6. Christa Cuchiero, 2017. "Polynomial processes in stochastic portfolio theory," Papers 1705.03647, arXiv.org.
  7. Robert Fernholz, 2015. "An example of short-term relative arbitrage," Papers 1510.02292, arXiv.org.
  8. Ioannis Karatzas & Constantinos Kardaras, 2007. "The numéraire portfolio in semimartingale financial models," Finance and Stochastics, Springer, vol. 11(4), pages 447-493, October.
  9. Radka Picková, 2014. "Generalized volatility-stabilized processes," Annals of Finance, Springer, vol. 10(1), pages 101-125, February.
  10. Pal, Soumik & Protter, Philip, 2010. "Analysis of continuous strict local martingales via h-transforms," Stochastic Processes and their Applications, Elsevier, vol. 120(8), pages 1424-1443, August.
  11. Soumik Pal & Ting-Kam Leonard Wong, 2013. "Energy, entropy, and arbitrage," Papers 1308.5376, arXiv.org, revised Jan 2016.
  12. Ashkan Nikeghbali & Eckhard Platen, 2008. "On honest times in financial modeling," Papers 0808.2892, arXiv.org.
  13. Gabriel Frahm, 2013. "Pricing and Valuation under the Real-World Measure," Papers 1304.3824, arXiv.org, revised Jan 2016.
  14. Ting-Kam Leonard Wong, 2014. "Optimization of relative arbitrage," Papers 1407.8300, arXiv.org, revised Nov 2014.
  15. Eckhard Platen, 2011. "A Benchmark Approach to Investing and Pricing," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 28, pages 409-426, World Scientific Publishing Co. Pte. Ltd..
  16. Ioannis Karatzas & Constantinos Kardaras, 2008. "The numeraire portfolio in semimartingale financial models," Papers 0803.1877, arXiv.org.
  17. Eckhard Platen, 2008. "The Law of Minimal Price," Research Paper Series 215, Quantitative Finance Research Centre, University of Technology, Sydney.
  18. Andrey Sarantsev, 2014. "On a class of diverse market models," Annals of Finance, Springer, vol. 10(2), pages 291-314, May.
  19. Abdelkoddousse Ahdida & Aur'elien Alfonsi, 2011. "A Mean-Reverting SDE on Correlation matrices," Papers 1108.5264, arXiv.org, revised Feb 2012.
  20. Shkolnikov, Mykhaylo, 2013. "Large volatility-stabilized markets," Stochastic Processes and their Applications, Elsevier, vol. 123(1), pages 212-228.
  21. Nicolas Bouleau & Christophe Chorro, 2015. "The impact of randomness on the distribution of wealth: Some economic aspects of the Wright-Fisher diffusion process," Post-Print halshs-01162452, HAL.
  22. Soumik Pal, 2016. "Exponentially concave functions and high dimensional stochastic portfolio theory," Papers 1603.01865, arXiv.org, revised Mar 2016.
  23. Bouleau, Nicolas & Chorro, Christophe, 2017. "The impact of randomness on the distribution of wealth: Some economic aspects of the Wright–Fisher diffusion process," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 479(C), pages 379-395.
  24. Robert Fernholz & Ioannis Karatzas, 2006. "The implied liquidity premium for equities," Annals of Finance, Springer, vol. 2(1), pages 87-99, January.
  25. Adrian Banner & Daniel Fernholz, 2008. "Short-term relative arbitrage in volatility-stabilized markets," Annals of Finance, Springer, vol. 4(4), pages 445-454, October.
  26. Aleksandar Mijatovi'c & Mikhail Urusov, 2010. "Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models," Papers 1005.1861, arXiv.org.
  27. 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.
  28. Ting-Kam Leonard Wong, 2017. "On portfolios generated by optimal transport," Papers 1709.03169, arXiv.org, revised Sep 2017.
  29. Nicolas Bouleau & Christophe Chorro, 2015. "The impact of randomness on the distribution of wealth: Some economic aspects of the Wright-Fisher diffusion process," Documents de travail du Centre d'Economie de la Sorbonne 15024r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jul 2015.
  30. Ahdida, Abdelkoddousse & Alfonsi, Aurélien, 2013. "A mean-reverting SDE on correlation matrices," Stochastic Processes and their Applications, Elsevier, vol. 123(4), pages 1472-1520.
  31. Winslow Strong, 2012. "Generalizations of Functionally Generated Portfolios with Applications to Statistical Arbitrage," Papers 1212.1877, arXiv.org, revised Oct 2013.
  32. Soumik Pal & Philip Protter, 2007. "Analysis of continuous strict local martingales via h-transforms," Papers 0711.1136, arXiv.org, revised Jun 2010.
  33. Paolo Guasoni & Scott Robertson, 2012. "Portfolios and risk premia for the long run," Papers 1203.1399, arXiv.org.
  34. Soumik Pal & Ting-Kam Leonard Wong, 2014. "The geometry of relative arbitrage," Papers 1402.3720, arXiv.org, revised Jul 2015.
  35. Alexander Vervuurt, 2015. "Topics in Stochastic Portfolio Theory," Papers 1504.02988, arXiv.org.
  36. Ioannis Karatzas & Johannes Ruf, 2016. "Trading Strategies Generated by Lyapunov Functions," Papers 1603.08245, arXiv.org.
  37. Abdelkoddousse Ahdida & Aurélien Alfonsi, 2013. "A Mean-Reverting SDE on Correlation matrices," Post-Print hal-00617111, HAL.
  38. Robert Fernholz, 2015. "Variations on an example of Karatzas and Ruf," Papers 1512.02478, arXiv.org.
  39. Irene Klein & Thorsten Schmidt & Josef Teichmann, 2013. "When roll-overs do not qualify as num\'eraire: bond markets beyond short rate paradigms," Papers 1310.0032, arXiv.org.
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