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Relative arbitrage in volatility-stabilized markets
5 references·16 citing·39 second hop
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References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 2002Stochastic Portfolio Theory249 cited
  • 2002Stochastic Portfolio Theory184 cited
  • 2005Atlas models of equity markets148 cited

Cited by

  • 2013A Mathematical Theory of Financial Bubbles110 cited
  • 2012THE MEANING OF MARKET EFFICIENCY105 cited
  • 2010On optimal arbitrage76 cited
  • 2006No Arbitrage and the Growth Optimal Portfolio69 cited
  • 2012Portfolios and risk premia for the long run67 cited
  • 2010Relativistic statistical arbitrage61 cited
  • 2010Analysis of continuous strict local martingales via h -transforms60 cited
  • 2011Optimal arbitrage under model uncertainty55 cited
  • 2015The geometry of relative arbitrage52 cited
  • 2017Trading strategies generated by Lyapunov functions42 cited
  • 2011Analysis of market weights under volatility-stabilized market models40 cited
  • 2018

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Cover's universal portfolio, stochastic portfolio theory, and the numéraire portfolio
32 cited
  • 2018Polynomial processes in stochastic portfolio theory31 cited
  • 2007Short-term relative arbitrage in volatility-stabilized markets28 cited
  • 2018Model-Free Portfolio Theory and Its Functional Master Formula27 cited
  • 2018Volatility and arbitrage23 cited