Short-term relative arbitrage in volatility-stabilized markets

Springer Science and Business Media LLC - 2008
Adrian Banner1, Daniel Fernholz2
1INTECH, Princeton, USA
2Department of Computer Sciences, University of Texas at Austin, Austin, USA

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Tài liệu tham khảo

Fernholz E.R. (2002). Stochastic Portfolio Theory. Springer, New York

Fernholz R., Karatzas I. and Kardaras C. (2005). Diversity and arbitrage in equity markets. Finance Stoch 9: 1–27

Fernholz R. and Karatzas I. (2005). Relative arbitrage in volatility-stabilized markets. Ann Finance 1: 149–177

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