Asymptotic arbitrage and large deviations

DOI10.1007/s11579-008-0009-3zbMath1153.91015OpenAlexW2143620550MaRDI QIDQ941014

Walter Schachermayer, Hans Föllmer

Publication date: 4 September 2008

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-008-0009-3

zbMATH Keywords

large deviationsutility maximizationasymptotic arbitragecost averaging

Mathematics Subject Classification ID

Related Items (17)

PRICING FOR LARGE POSITIONS IN CONTINGENT CLAIMS ⋮ A note on optimal consumption and investment in a geometric Ornstein–Uhlenbeck market ⋮ ASYMPTOTIC ARBITRAGE IN THE HESTON MODEL ⋮ On long-term arbitrage opportunities in Markovian models of financial markets ⋮ Asymptotic arbitrage in large financial markets with friction ⋮ Asymptotics of robust utility maximization ⋮ Portfolios and risk premia for the long run ⋮ ROBUST PORTFOLIOS AND WEAK INCENTIVES IN LONG-RUN INVESTMENTS ⋮ ON OPTIMAL THRESHOLDS FOR PAIRS TRADING IN A ONE-DIMENSIONAL DIFFUSION MODEL ⋮ Horizon dependence of utility optimizers in incomplete models ⋮ Asymptotic arbitrage with small transaction costs ⋮ Time-consistent asymptotic exponential arbitrage with small probable maximum loss ⋮ An explicit solution for optimal investment problems with autoregressive prices and exponential utility ⋮ Asymptotic exponential arbitrage in the Schwartz commodity futures model ⋮ A Note on Asymptotic Exponential Arbitrage with Exponentially Decaying Failure Probability ⋮ Invariant measures for multidimensional fractional stochastic volatility models ⋮ Asymptotic exponential arbitrage and utility-based asymptotic arbitrage in Markovian models of financial markets

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