THE MEANING OF MARKET EFFICIENCY

DOI10.1111/j.1467-9965.2011.00497.xzbMath1278.91062OpenAlexW2765758317MaRDI QIDQ4906537

Martin Larsson, Robert A. Jarrow

Publication date: 28 February 2013

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2011.00497.x

zbMATH Keywords

no arbitrageeconomic equilibriumefficient marketsmartingale measuresinformation setslocal martingale measuresno dominancesemi-strong-form efficiencystrong-form efficiencyweak-form efficiency

Mathematics Subject Classification ID

Related Items (18)

Capital asset market equilibrium with liquidity risk, portfolio constraints, and asset price bubbles ⋮ Relative asset price bubbles ⋮ Beating the market? A mathematical puzzle for market efficiency ⋮ Asset market equilibrium with liquidity risk ⋮ Informational Efficiency under Short Sale Constraints ⋮ Asset price bubbles: invariance theorems ⋮ On the existence of competitive equilibrium in frictionless and incomplete stochastic asset markets ⋮ Asset price bubbles, wealth preserving, dominating, and replicating trading strategies ⋮ Informational Efficiency with Trading Constraints: A Characterization ⋮ Good deals in markets with friction ⋮ Distributional divergence, statistical experiments and consequences in option pricing ⋮ A theoretical foundation of portfolio resampling ⋮ Concavity, stochastic utility, and risk aversion ⋮ Financial asset price bubbles under model uncertainty ⋮ THE FUNDAMENTAL THEOREMS OF ASSET PRICING AND THE CLOSED-END FUND PUZZLE ⋮ Golden options in financial mathematics ⋮ INEFFICIENT BUBBLES AND EFFICIENT DRAWDOWNS IN FINANCIAL MARKETS ⋮ Positive alphas and a generalized multiple-factor asset pricing model

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Relative arbitrage in volatility-stabilized markets
• The Banach space of workable contingent claims in arbitrage theory
• Rational expectations in microeconomic models: An overview
• A comparison theorem for solutions of stochastic differential equations and its applications
• The fundamental theorem of asset pricing for unbounded stochastic processes
• Existence, uniqueness and determinacy of Arrow-Debreu equilibria in finance models
• A general version of the fundamental theorem of asset pricing
• Optimal consumption from investment and random endowment in incomplete semimartingale markets.
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Default times, no-arbitrage conditions and changes of probability measures
• Arbitrage possibilities in Bessel processes and their relations to local martingales
• Comparison results for stochastic volatility models via coupling
• The numéraire portfolio in semimartingale financial models
• Utility maximization in incomplete markets for unbounded processes
• Financial equilibria in the semimartingale setting: complete markets with withdrawal constraints
• Equivalent and absolutely continuous measure changes for jump-diffusion processes
• On Models of Default Risk
• Changes of filtrations and of probability measures
• Existence and Uniqueness of Equilibria When Preferences are Additively Separable
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model
• ASSET PRICE BUBBLES IN INCOMPLETE MARKETS
• Stochastic Equilibria: Existence, Spanning Number, and the `No Expected Financial Gain from Trade' Hypothesis
• On the Existence of an Arrow-Radner Equilibrium in the Case of Complete Markets. A Remark
• Quasimartingales, martingales locales, semimartingales et filtration naturelle
• A Simple Counterexample to Several Problems in the Theory of Asset Pricing
• Complications with stochastic volatility models
• HEDGING UNDER ARBITRAGE
• Utility maximization in incomplete markets with random endowment
• Credit risk: Modelling, valuation and hedging

This page was built for publication: THE MEANING OF MARKET EFFICIENCY