Volatility and arbitrage

DOI10.1214/17-AAP1308zbMath1391.60093arXiv1608.06121MaRDI QIDQ1751971

Johannes Ruf, Ioannis Karatzas, E. Robert Fernholz

Publication date: 25 May 2018

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1608.06121

zbMATH Keywords

diffusions on manifoldstrading strategiesnondegeneracyrelative arbitragefunctional generationshort-term arbitragesupport of diffusions

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Portfolio theory (91G10)

Related Items (9)

Trading strategies generated by Lyapunov functions ⋮ Relative arbitrage: Sharp time horizons and motion by curvature ⋮ Optimal control of martingales in a radially symmetric environment ⋮ Permutation-weighted portfolios and the efficiency of commodity futures markets ⋮ Polynomial processes in stochastic portfolio theory ⋮ Exponentially concave functions and high dimensional stochastic portfolio theory ⋮ Generalised Lyapunov Functions and Functionally Generated Trading Strategies ⋮ Information Geometry in Portfolio Theory ⋮ Trading strategies generated pathwise by functions of market weights

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