Optimization of relative arbitrage
نویسندگان
چکیده
منابع مشابه
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An equity market is called “diverse” if no single stock is ever allowed to dominate the entire market in terms of relative capitalization. In the context of the standard Itô-process model initiated by Samuelson (1965) we formulate this property (and the allied, successively weaker notions of “weak diversity” and “asymptotic weak diversity”) in precise terms.We show that diversity is possible to...
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ژورنال
عنوان ژورنال: Annals of Finance
سال: 2015
ISSN: 1614-2446,1614-2454
DOI: 10.1007/s10436-015-0261-5