Diversity and No Arbitrage

DOI10.1080/07362994.2014.939543zbMath1310.91133arXiv1301.4173OpenAlexW2000284450MaRDI QIDQ2929468

Vilmos Prokaj, Attila Herczegh, Miklós Rásonyi

Publication date: 12 November 2014

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1301.4173

zbMATH Keywords

Wiener processsquared Bessel processcontinuous martingalesconditional full supportrelative arbitrageconsistent price systemdiverse market

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Portfolio theory (91G10) Actuarial science and mathematical finance (91G99)

Related Items (3)

Sticky Continuous Processes have Consistent Price Systems ⋮ Sticky processes, local and true martingales ⋮ A study of the absence of arbitrage opportunities without calculating the risk-neutral probability

Cites Work

• Unnamed Item
• Consistent price systems in multiasset markets
• Arbitrage opportunities in diverse markets via a non-equivalent measure change
• On the diversity of equity markets
• Diversity and relative arbitrage in equity markets
• Consistent price systems and face-lifting pricing under transaction costs
• The mathematics of arbitrage
• Stochastic Integrals and Conditional Full Support
• Equity portfolios generated by functions of ranked market weights

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