ON OPTIMAL ARBITRAGE

被引：37

作者：

Fernholz, Daniel ^{[1
]}

Karatzas, Ioannis ^{[2
]}

机构：

[1] Univ Texas Austin, Dept Comp Sci, Austin, TX 78712 USA

[2] INTECH Investment Management, Princeton, NJ 08542 USA

来源：

ANNALS OF APPLIED PROBABILITY | 2010年 / 20卷 / 04期

基金：

美国国家科学基金会;

关键词：

Portfolios; arbitrage; parabolic operators; maximum principle; strict local martingales; exit measures for supermartingales; diffusions; Fichera drift;

D O I：

10.1214/09-AAP642

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

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.

引用

页码：1179 / 1204

页数：26

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