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Short-term relative arbitrage in volatility-stabilized markets
4 references·3 citing·21 second hop
Short-term relative arbitrage in volatility-stabilized markets (2007)Short-term relative arbitrage in volatili…Relative arbitrage in volatility-stabilized markets (2005)Relative arbitrage in volatil…Diversity and relative arbitrage in equity markets (2004)Diversity and relative arbitr…Stochastic Portfolio Theory (2002)Stochastic Portfolio TheoryStochastic Portfolio Theory (2002)Stochastic Portfolio TheoryVolatility and arbitrage (2018)Volatility and arbitrageOptimization of relative arbitrage (2015)Optimization of relative arbi…Generalizations of Functionally Generated Portfolios with Applications to Statistical Arbitrage (2014)Generalizations of Functional…Multidimensional Reflected Brownian Motions Having Exponential Stationary Distributions (1987)Dynamic Asset Pricing Theory. (1993)Atlas models of equity markets (2005)Brownian Motion and Stochastic Calculus (2007)Stochastic Portfolio Theory: an Overview (2009)Deep Learning for Portfolio Optimization (2020)Methods of Mathematical Finance (1998)On optimal arbitrage (2010)THE MEANING OF MARKET EFFICIENCY (2012)A Mathematical Theory of Financial Bubbles (2013)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Stochastic Calculus in Manifolds (1989)Prediction, Learning, and Games (2006)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)No Arbitrage and the Growth Optimal Portfolio (2006)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Rational asset pricing bubbles and portfolio constraints (2010)HEDGING UNDER ARBITRAGE (2012)Limit Theorems for Stochastic Processes (2003)Optimal Portfolio Diversification Using the Maximum Entropy Principle (2008)
this work references cited by second hop

References

  • 2002Stochastic Portfolio Theory249 cited
  • 2002Stochastic Portfolio Theory184 cited
  • 2005Relative arbitrage in volatility-stabilized markets113 cited
  • 2004Diversity and relative arbitrage in equity markets95 cited

Cited by

  • 2015Optimization of relative arbitrage26 cited
  • 2018Volatility and arbitrage23 cited
  • 2014Generalizations of Functionally Generated Portfolios with Applications to Statistical Arbitrage22 cited

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