ON OPTIMAL ARBITRAGE
成果类型：
Article
署名作者：
Fernholz, Daniel; Karatzas, Ioannis
署名单位：
University of Texas System; University of Texas Austin
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
DOI：
10.1214/09-AAP642
发表日期：
2010
页码：
1179-1204
关键词：
摘要：
In a Markovian model for a financial market, we characterize the best arbitrage with respect to the market portfolio that can be achieved using nonanticipative investment strategies, in terms of the smallest positive solution to a parabolic partial differential inequality; this is determined entirely on the basis of the covariance structure of the model. The solution is intimately related to properties of strict local martingales and is used to generate the investment strategy which realizes the best possible arbitrage. Some extensions to non-Markovian situations are also presented.
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