Relative arbitrage: Sharp time horizons and motion by curvature
نویسندگان
چکیده
We characterize the minimal time horizon over which any equity market with stocks and sufficient intrinsic volatility admits relative arbitrage respect to portfolio. If , can be computed explicitly, its value being zero if . characterized via arrival function of a geometric flow unit simplex in that we call minimum curvature flow.
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ژورنال
عنوان ژورنال: Mathematical Finance
سال: 2021
ISSN: ['0960-1627', '1467-9965']
DOI: https://doi.org/10.1111/mafi.12303