Time-consistent asymptotic exponential arbitrage with small probable maximum loss

DOI10.1007/S11401-019-0147-3zbMath1417.91464OpenAlexW2950939016WikidataQ115602302 ScholiaQ115602302MaRDI QIDQ2002169

Jinfeng Li

Publication date: 11 July 2019

Published in: Chinese Annals of Mathematics. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11401-019-0147-3

zbMATH Keywords

asymptotic arbitragetime-consistentsmall probable maximum loss

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Unnamed Item
• Asymptotic arbitrage and large deviations
• A Note on Asymptotic Exponential Arbitrage with Exponentially Decaying Failure Probability
• On the minimal martingale measure and the möllmer-schweizer decomposition

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