Exact arbitrage and portfolio analysis in large asset markets

DOI10.1007/s001990200328zbMath1071.91022OpenAlexW2059919205MaRDI QIDQ1411091

M. Ali Khan, Yeneng Sun

Publication date: 16 October 2003

Published in: Economic Theory (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/72034

zbMATH Keywords

portfolioLoeb measure spaceportfolio weights

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (4)

Integration with filters ⋮ Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios ⋮ First steps towards an equilibrium theory for Lévy financial markets ⋮ Loeb extension and Loeb equivalence

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