Relative arbitrage in volatility-stabilized markets
By Robert Fernholz, Ioannis Karatzas. 2005
125 citations recorded by the source corpus.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/79384c07e3f9d714cd3f1fd8de7157d229d28e1a
How researchers see this paper
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In Finance
- Soumik Pal
- Constantinos Kardaras
- Philip Protter
- Ioannis Karatzas
- Eckhard Platen
- D. Heath
- Ting-Kam Leonard Wong
- Daniel Fernholz
Citations in the corpus
- The geometry of relative arbitrage (2014, methodology): “ above, the following articles are closely related to our current work. The roles of diversity and sufficient volatility in relative arbitrage have been studied by authors such as Fernholz and Karatzas [FK05] and Fernholz, Karatzas, and Kardaras [FKK05]. Functionally generated portfolio is used by Ban”
- Optimal arbitrage under model uncertainty. (2011, methodology): “Let us go back to the volatility-stabilized model introduced in Fernholz and Karatzas (2005), but now with some “Knightian” uncertainty regarding its volatility structure 1≤ αii(t)µi(t)≤ 1 + δ, 0≤ t ∞ for some given δ ≥ 0.”
- Portfolios and risk premia for the long run. (2012, background): “Fernholz and Karatzas (2005) consider models in which E is the open simplex in Rn−1.”
- A Benchmark Approach to Quantitative Finance (2006, background): “• “relative arbitrage” Fernholz & Karatzas (2005) c© Copyright Eckhard Platen 10 BA - Toronto C 1 11”
- Atlas models of equity markets (2005, unknown): “The Annals of Applied Probability 2005, Vol. 15, No. 4, 2296–2330 DOI: 10.1214/105051605000000449 © Institute of Mathematical Statistics, 2005”
- Analysis of continuous strict local martingales via h-transforms (2007, background): “[2], Biane & Yor [3], Cox & Hobson [4], Fernholz & Karatzas [12], and the very recent book-length preprint of Profeta, Roynette, and Yor [33].”
- The numéraire portfolio in semimartingale financial models (2007, methodology): “We refer the reader to Karatzas, Lehoczky and Shreve [25], Appendix B of Karatzas and Shreve [27], and Delbaen and Schachermayer [11] for a more thorough discussion.”