Arbitrage opportunities in diverse markets via a non-equivalent measure change

DOI10.1007/s10436-006-0037-zzbMath1233.91342OpenAlexW2049014086MaRDI QIDQ665725

Thorsten Rheinländer, Jörg R. Osterrieder

Publication date: 6 March 2012

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-006-0037-z

zbMATH Keywords

incomplete marketsfinancial marketsstochastic exponentialmeasure changediverse marketsadmissible strategiesarbitrage opportunitiesoptional decomposition theorem

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80)

Related Items (9)

Diverse market models of competing Brownian particles with splits and mergers ⋮ Diversity and No Arbitrage ⋮ Insiders and Their Free Lunches: The Role of Short Positions ⋮ Diversity-weighted portfolios with negative parameter ⋮ Diversity and arbitrage in a regulatory breakup model ⋮ Robust maximization of asymptotic growth ⋮ On a class of diverse market models ⋮ WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS ⋮ Market Models with Optimal Arbitrage

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• Arbitrage possibilities in Bessel processes and their relations to local martingales
• Transformation des martingales locales par changement absolument continu de probabilities
• Equity portfolios generated by functions of ranked market weights

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