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Diversity and relative arbitrage in equity markets

Citations

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Cited by:

  1. Hugonnier, Julien, 2012. "Rational asset pricing bubbles and portfolio constraints," Journal of Economic Theory, Elsevier, vol. 147(6), pages 2260-2302.
  2. Aleksandar Mijatovi'c & Mikhail Urusov, 2010. "Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models," Papers 1005.1861, arXiv.org.
  3. 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.
  4. 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.
  5. E. Robert Fernholz & Ioannis Karatzas & Johannes Ruf, 2016. "Volatility and Arbitrage," Papers 1608.06121, arXiv.org.
  6. Alexander Schied & Leo Speiser & Iryna Voloshchenko, 2016. "Model-free portfolio theory and its functional master formula," Papers 1606.03325, arXiv.org, revised May 2018.
  7. Vassilios Papathanakos, 2016. "Portfolio Optimization in the Stochastic Portfolio Theory Framework," Papers 1601.07628, arXiv.org.
  8. Christa Cuchiero, 2017. "Polynomial processes in stochastic portfolio theory," Papers 1705.03647, arXiv.org.
  9. Alexander Vervuurt & Ioannis Karatzas, 2015. "Diversity-Weighted Portfolios with Negative Parameter," Papers 1504.01026, arXiv.org, revised Jul 2015.
  10. Martin Larsson & Johannes Ruf, 2020. "Relative Arbitrage: Sharp Time Horizons and Motion by Curvature," Papers 2003.13601, arXiv.org, revised Feb 2021.
  11. 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.
  12. Ke Du & Eckhard Platen, 2016. "Benchmarked Risk Minimization," Mathematical Finance, Wiley Blackwell, vol. 26(3), pages 617-637, July.
  13. Soumik Pal & Ting-Kam Leonard Wong, 2013. "Energy, entropy, and arbitrage," Papers 1308.5376, arXiv.org, revised Jan 2016.
  14. Mikhail Zhitlukhin, 2022. "Optimal growth strategies for a representative agent in a continuous-time asset market," Papers 2211.05316, arXiv.org.
  15. Cuchiero, Christa, 2019. "Polynomial processes in stochastic portfolio theory," Stochastic Processes and their Applications, Elsevier, vol. 129(5), pages 1829-1872.
  16. Eckhard Platen & Renata Rendek, 2009. "Simulation of Diversified Portfolios in a Continuous Financial Market," Research Paper Series 264, Quantitative Finance Research Centre, University of Technology, Sydney.
  17. Paolo Guasoni & Mikl'os R'asonyi, 2015. "Hedging, arbitrage and optimality with superlinear frictions," Papers 1506.05895, arXiv.org.
  18. Kardaras, Constantinos & Platen, Eckhard, 2011. "On the semimartingale property of discounted asset-price processes," Stochastic Processes and their Applications, Elsevier, vol. 121(11), pages 2678-2691, November.
  19. Eckhard Platen & David Taylor, 2016. "Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts," Papers 1610.09875, arXiv.org.
  20. Dániel Ágoston Bálint & Martin Schweizer, 2018. "Making No-Arbitrage Discounting-Invariant: A New FTAP Beyond NFLVR and NUPBR," Swiss Finance Institute Research Paper Series 18-23, Swiss Finance Institute, revised Mar 2018.
  21. Vladimir Vovk, 2017. "Non-stochastic portfolio theory," Papers 1712.09108, arXiv.org, revised Feb 2018.
  22. Ting-Kam Leonard Wong, 2017. "On portfolios generated by optimal transport," Papers 1709.03169, arXiv.org, revised Sep 2017.
  23. Zihao Zhang & Stefan Zohren & Stephen Roberts, 2020. "Deep Learning for Portfolio Optimization," Papers 2005.13665, arXiv.org, revised Jan 2021.
  24. 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.
  25. Patrick Mijatovic, 2021. "Beating the Market with Generalized Generating Portfolios," Papers 2101.07084, arXiv.org.
  26. Robert Fernholz & Ioannis Karatzas, 2005. "Relative arbitrage in volatility-stabilized markets," Annals of Finance, Springer, vol. 1(2), pages 149-177, November.
  27. 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.
  28. David Heath & Eckhard Platen, 2006. "Local volatility function models under a benchmark approach," Quantitative Finance, Taylor & Francis Journals, vol. 6(3), pages 197-206.
  29. 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.
  30. Ting-Kam Leonard Wong, 2014. "Optimization of relative arbitrage," Papers 1407.8300, arXiv.org, revised Nov 2014.
  31. Thorsten Rheinländer & Jenny Sexton, 2011. "Hedging Derivatives," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8062, December.
  32. Winslow Strong, 2012. "Generalizations of Functionally Generated Portfolios with Applications to Statistical Arbitrage," Papers 1212.1877, arXiv.org, revised Oct 2013.
  33. Martin Herdegen, 2017. "No-Arbitrage In A Numéraire-Independent Modeling Framework," Mathematical Finance, Wiley Blackwell, vol. 27(2), pages 568-603, April.
  34. Martin HERDEGEN & Martin SCHWEIZER, 2016. "Economically Consistent Valuations and Put-Call Parity," Swiss Finance Institute Research Paper Series 16-02, Swiss Finance Institute.
  35. Soumik Pal & Philip Protter, 2007. "Analysis of continuous strict local martingales via h-transforms," Papers 0711.1136, arXiv.org, revised Jun 2010.
  36. Johannes Ruf, 2010. "Hedging under arbitrage," Papers 1003.4797, arXiv.org, revised May 2011.
  37. Ioannis Karatzas & Constantinos Kardaras, 2008. "The numeraire portfolio in semimartingale financial models," Papers 0803.1877, arXiv.org.
  38. Adrian D. Banner & Robert Fernholz & Ioannis Karatzas, 2006. "Atlas models of equity markets," Papers math/0602521, arXiv.org.
  39. 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.
  40. Andrey Sarantsev, 2014. "On a class of diverse market models," Annals of Finance, Springer, vol. 10(2), pages 291-314, May.
  41. Pal, Soumik, 2019. "Exponentially concave functions and high dimensional stochastic portfolio theory," Stochastic Processes and their Applications, Elsevier, vol. 129(9), pages 3116-3128.
  42. Soumik Pal & Ting-Kam Leonard Wong, 2016. "Exponentially concave functions and a new information geometry," Papers 1605.05819, arXiv.org, revised May 2017.
  43. Fernholz, E. Robert & Karatzas, Ioannis & Ruf, Johannes, 2018. "Volatility and arbitrage," LSE Research Online Documents on Economics 75234, London School of Economics and Political Science, LSE Library.
  44. Soumik Pal & Ting-Kam Leonard Wong, 2014. "The geometry of relative arbitrage," Papers 1402.3720, arXiv.org, revised Jul 2015.
  45. Martin Herdegen & Martin Schweizer, 2018. "Semi‐efficient valuations and put‐call parity," Mathematical Finance, Wiley Blackwell, vol. 28(4), pages 1061-1106, October.
  46. Alexander Vervuurt, 2015. "Topics in Stochastic Portfolio Theory," Papers 1504.02988, arXiv.org.
  47. Ioannis Karatzas & Johannes Ruf, 2016. "Trading Strategies Generated by Lyapunov Functions," Papers 1603.08245, arXiv.org.
  48. Winslow Strong, 2011. "Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension," Papers 1112.5340, arXiv.org.
  49. Alexander Vervuurt & Ioannis Karatzas, 2015. "Diversity-weighted portfolios with negative parameter," Annals of Finance, Springer, vol. 11(3), pages 411-432, November.
  50. Soumik Pal, 2016. "Exponentially concave functions and high dimensional stochastic portfolio theory," Papers 1603.01865, arXiv.org, revised Mar 2016.
  51. 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.
  52. 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.
  53. Attila Herczegh & Vilmos Prokaj & Mikl'os R'asonyi, 2013. "Diversity and no arbitrage," Papers 1301.4173, arXiv.org, revised Aug 2014.
  54. Brandon Flores & Blessing Ofori-Atta & Andrey Sarantsev, 2021. "A stock market model based on CAPM and market size," Annals of Finance, Springer, vol. 17(3), pages 405-424, September.
  55. Winslow Strong, 2014. "Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension," Finance and Stochastics, Springer, vol. 18(3), pages 487-514, July.
  56. Tomoyuki Ichiba & Nicole Tianjiao Yang, 2020. "Relative Arbitrage Opportunities with Interactions among $N$ Investors," Papers 2006.15158, arXiv.org, revised Jul 2024.
  57. Constantinos Kardaras, 2008. "Balance, growth and diversity of financial markets," Annals of Finance, Springer, vol. 4(3), pages 369-397, July.
  58. Constantinos Kardaras, 2008. "Balance, growth and diversity of financial markets," Papers 0803.1858, arXiv.org.
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