Optimal arbitrage under model uncertainty

Annals of Applied Probability

Volumn 21, Issue 6, 2011, Pages 2191-2225

  Fernholz, Daniel ^a   Karatzas, Ioannis ^b  

^a Daniel Fernholz LLC   (United States)

^b Intech Investment Management   (United States)

Author keywords

Arbitrage; Fully nonlinear parabolic equations; Maximal containment probability; Minimal solutions; Model uncertainty; Robust portfolio choice; Stochastic control; Stochastic game

Indexed keywords

EID: 82655173715     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/10-AAP755     Document Type: Article

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