Search Results - subject:"Relative arbitrage"

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Trading strategies generated pathwise by functions of market weights

Karatzas, Ioannis; Kim, Donghan - In: Finance and stochastics 24 (2020) 2, pp. 423-463

Persistent link: https://www.econbiz.de/10012253375

Trading strategies generated by Lyapunov functions

Karatzas, Ioannis; Ruf, Johannes - In: Finance and stochastics 21 (2017) 3, pp. 753-787

Persistent link: https://www.econbiz.de/10011944423

Optimization of relative arbitrage

Wong, Ting-Kam Leonard - In: Annals of finance 11 (2015) 3/4, pp. 345-382

Persistent link: https://www.econbiz.de/10011459074

Diversity-weighted portfolios with negative parameter

Vervuurt, Alexander; Karatzas, Ioannis - In: Annals of finance 11 (2015) 3/4, pp. 411-432

Persistent link: https://www.econbiz.de/10011459422

Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models

Mijatović, Aleksandar; Urusov, Mikhail - In: Finance and Stochastics 16 (2012) 2, pp. 225-247

Persistent link: https://www.econbiz.de/10010997052

Diversity and arbitrage in a regulatory breakup model

Strong, Winslow; Fouque, Jean-Pierre - In: Annals of Finance 7 (2011) 3, pp. 349-374

Persistent link: https://www.econbiz.de/10009326712

Diversity and relative arbitrage in equity markets

Fernholz, Robert; Karatzas, Ioannis; Kardaras, Constantinos - In: Finance and Stochastics 9 (2005) 1, pp. 1-27

show that weakly-diverse markets contain relative arbitrage opportunities: it is possible to outperform or underperform … such markets over any given time-horizon. The existence of this type of relative arbitrage does not interfere with the …

Persistent link: https://www.econbiz.de/10005759624

Relative arbitrage in volatility-stabilized markets

Fernholz, Robert; Karatzas, Ioannis - In: Annals of Finance 1 (2005) 2, pp. 149-177

We provide simple, easy-to-test criteria for the existence of relative arbitrage in equity markets. These criteria …

Persistent link: https://www.econbiz.de/10005673968