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ArticleRelative arbitrage in volatility-stabilized markets

Robert Fernholz2005

Article2005

Relative arbitrage in volatility-stabilized markets

Robert Fernholz · Ioannis Karatzas

113 citations·0/0 files stored·Annals of Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Complex Systems and Time Series Analysis

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References

2007Brownian Motion and Stochastic Calculus 1998Methods of Mathematical Finance 2002Stochastic Portfolio Theory 2002Stochastic Portfolio Theory 2005Atlas models of equity markets

Cited by

2013A Mathematical Theory of Financial Bubbles 2012THE MEANING OF MARKET EFFICIENCY 2010On optimal arbitrage 2006No Arbitrage and the Growth Optimal Portfolio 2012Portfolios and risk premia for the long run 2010Analysis of continuous strict local martingales via h -transforms 2011Optimal arbitrage under model uncertainty 2015The geometry of relative arbitrage

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Year2005

Typearticle

Published2005-01-19

VenueAnnals of Finance

ISSN-L1614-2446

Languageen

Citations113

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s10436-004-0011-6

openalex_workW1963490892

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