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  • Search: subject:"Optimal arbitrage"
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Year of publication
Subject
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Arbitrage 1 Arbitrage Pricing 1 Arbitrage pricing 1 Hedging 1 Incomplete market 1 Incomplete markets 1 Initial enlargement of filtration 1 No unbounded profits with bounded risk 1 Optimal arbitrage 1 Option pricing theory 1 Optionspreistheorie 1 Portfolio selection 1 Portfolio-Management 1 Unvollkommener Markt 1 Utility maximization 1 asymptotic growth rate 1 generalized martingale problem 1 optimal arbitrage 1 robustness 1
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Online availability
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Free 1 Undetermined 1
Type of publication
All
Article 1 Book / Working Paper 1
Type of publication (narrower categories)
All
Article in journal 1 Aufsatz in Zeitschrift 1
Language
All
English 1 Undetermined 1
Author
All
Chau, Huy N. 1 Kardaras, Constantinos 1 Robertson, Scott 1 Runggaldier, Wolfgang J. 1 Tankov, Peter 1
Institution
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London School of Economics (LSE) 1
Published in...
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LSE Research Online Documents on Economics 1 Mathematics and financial economics 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Arbitrage and utility maximization in market models with an insider
Chau, Huy N.; Runggaldier, Wolfgang J.; Tankov, Peter - In: Mathematics and financial economics 12 (2018) 4, pp. 589-614
Persistent link: https://www.econbiz.de/10011963883
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Cover Image
Robust maximization of asymptotic growth
Kardaras, Constantinos; Robertson, Scott - London School of Economics (LSE) - 2012
This paper addresses the question of how to invest in a robust growth-optimal way in a market where the instantaneous expected return of the underlying process is unknown. The optimal investment strategy is identified using a generalized version of the principal eigenfunction for an elliptic...
Persistent link: https://www.econbiz.de/10010745927
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