Asymptotic Exponential Arbitrage and Utility-Based Asymptotic Arbitrage in Markovian Models of Financial Markets

被引：0
作者：
Martin Le Doux Mbele Bidima
Miklós Rásonyi
机构：
[1] University of Yaoundé I,
[2] MTA Alfréd Rényi Institute of Mathematics,undefined
[3] University of Edinburgh,undefined
来源：
Acta Applicandae Mathematicae | 2015年 / 138卷
关键词：
Asymptotic exponential arbitrage; Markov chains; Large deviations; Expected utility;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
Consider a discrete-time infinite horizon financial market model in which the logarithm of the stock price is a time discretization of a stochastic differential equation. Under conditions different from those given in (Mbele Bidima and Rásonyi in Ann. Oper. Res. 200:131–146, 2012), we prove the existence of investment opportunities producing an exponentially growing profit with probability tending to 1 geometrically fast. This is achieved using ergodic results on Markov chains and tools of large deviations theory.
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页码：1 / 15
页数：14
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