English

Variations on an example of Karatzas and Ruf

Mathematical Finance 2015-12-09 v1

Abstract

Markets composed of stocks with capitalization processes represented by positive continuous semimartingales are studied under the condition that the market excess growth rate is bounded away from zero. The following examples of these markets are given: i) a market with a singular covariance matrix and instantaneous relative arbitrage; ii) a market with a singular covariance matrix and no arbitrage; iii) a market with a nonsingular covariance matrix and no arbitrage; iv) a market with a nonsingular covariance matrix and relative arbitrage over an arbitrary time horizon.

Keywords

Cite

@article{arxiv.1512.02478,
  title  = {Variations on an example of Karatzas and Ruf},
  author = {Robert Fernholz},
  journal= {arXiv preprint arXiv:1512.02478},
  year   = {2015}
}

Comments

8 pages

R2 v1 2026-06-22T12:04:15.226Z