Short-term relative arbitrage in volatility-stabilized markets

Annals of Finance

Volumn 4, Issue 4, 2008, Pages 445-454

  Banner, Adrian D ^a   Fernholz, Daniel ^b  

^a INTECH   (United States)

^b University of Texas at Austin   (United States)

Author keywords

Continuous semimartingales; Portfolio generating functions; Portfolios

Indexed keywords

EID: 47649120054     PISSN: 16142446     EISSN: 16142454     Source Type: Journal    
DOI: 10.1007/s10436-007-0085-z     Document Type: Article

References (3)

1. Fernholz E.R. (2002). Stochastic Portfolio Theory. Springer, New York
2. Fernholz R., Karatzas I. and Kardaras C. (2005). Diversity and arbitrage in equity markets. Finance Stoch 9: 1-27
3. Fernholz R. and Karatzas I. (2005). Relative arbitrage in volatility-stabilized markets. Ann Finance 1: 149-177