Short-term relative arbitrage in volatility-stabilized markets

DOI10.1007/s10436-007-0085-zzbMath1233.91234OpenAlexW2106459003MaRDI QIDQ665831

Adrian D. Banner, Daniel Fernholz

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/s10436-007-0085-z

zbMATH Keywords

portfolioscontinuous semimartingalesportfolio generating functions

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Generalizations of martingales (60G48) Portfolio theory (91G10)

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Cites Work

• Relative arbitrage in volatility-stabilized markets
• Diversity and relative arbitrage in equity markets
• Unnamed Item