Universal strategies for diffusion markets and possibility of asymptotic arbitrage

DOI10.1016/j.insmatheco.2004.01.004zbMath1188.91199OpenAlexW1988079868MaRDI QIDQ977147

Savkin, Andrey V., Nikolai G. Dokuchaev

Publication date: 20 June 2010

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.01.004

zbMATH Keywords

Portfolio selectionAsymptotic arbitrageUniversal strategies

Mathematics Subject Classification ID

Diffusion processes (60J60) Portfolio theory (91G10)

Related Items (4)

Beating the market? A mathematical puzzle for market efficiency ⋮ Large Financial Markets, Discounting, and No Asymptotic Arbitrage ⋮ Simultaneously long short trading in discrete and continuous time ⋮ Mean‐Reverting Market Model: Speculative Opportunities and Non‐Arbitrage

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