Diversity and relative arbitrage in equity markets

Finance and Stochastics

Volumn 9, Issue 1, 2005, Pages 1-27

  Fernholz, Robert ^a   Karatzas, Ioannis ^b   Kardaras, Constantinos ^b  

^a INTECH   (United States)

^b Och Spine at New York Presbyterian Hospitals   (United States)

Author keywords

Diversity; Financial markets; Local times; Order statistics; Portfolios; Relative arbitrage; Stochastic differential equations; Strict local martingales

Indexed keywords

EID: 11144255004     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-004-0129-4     Document Type: Article

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