An example of short-term relative arbitrage
Mathematical Finance
2015-10-09 v1
Abstract
Long-term relative arbitrage exists in markets where the excess growth rate of the market portfolio is bounded away from zero. Here it is shown that under a time-homogeneity hypothesis this condition will also imply the existence of relative arbitrage over arbitrarily short intervals.
Cite
@article{arxiv.1510.02292,
title = {An example of short-term relative arbitrage},
author = {Robert Fernholz},
journal= {arXiv preprint arXiv:1510.02292},
year = {2015}
}
Comments
4 pages