An example of short-term relative arbitrage

Robert Fernholz

Papers from arXiv.org

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.

Date: 2015-10
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Citations: View citations in EconPapers (3)

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