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Statistical arbitrage with pairs trading

Göncü, Ahmet; Akyıldırım, Erdinç - In: International review of finance 16 (2016) 2, pp. 307-319

Persistent link: https://www.econbiz.de/10011713715

Vermögensillusion : Preis-Wert-Verhältnis (P/W), Blasen und das unterschätze Risiko von Kapitalanlagen im Niedrig-Zins-Umfeld

Gleißner, Werner - In: Corporate finance : Finanzierung, Kapitalmarkt, … 10 (2019) 7/8, pp. 223-233

Persistent link: https://www.econbiz.de/10012039563

Arbitrage and utility maximization in market models with an insider

Chau, Huy N.; Runggaldier, Wolfgang J.; Tankov, Peter - In: Mathematics and financial economics 12 (2018) 4, pp. 589-614

Persistent link: https://www.econbiz.de/10011963883

No-arbitrage up to random horizon for quasi-left-continuous models

Aksamit, Anna; Choulli, Tahir; Deng, Jun; Jeanblanc, Monique - In: Finance and stochastics 21 (2017) 4, pp. 1103-1139

Persistent link: https://www.econbiz.de/10011944480

A good pair: alternative pairs-trading strategies

Smith, Richard Todd; Xu, Xun - In: Financial markets and portfolio management 31 (2017) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10011944580

No-arbitrage under a class of honest times

Aksamit, Anna; Choulli, Tahir; Deng, Jun; Jeanblanc, Monique - In: Finance and stochastics 22 (2018) 1, pp. 127-159

Persistent link: https://www.econbiz.de/10011945638

Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs

Czichowsky, Christoph; Peyre, Rémi; Schachermayer, Walter - In: Finance and stochastics 22 (2018) 1, pp. 161-180

Persistent link: https://www.econbiz.de/10011945647

Optimal portfolio selection in an Itô-Markov additive market

Palmowski, Zbigniew; Stettner, Łukasz; Sulima, Anna - In: Risks : open access journal 7 (2019) 1/34, pp. 1-13

We study a portfolio selection problem in a continuous-time Itô–Markov additive market with prices of financial assets described by Markov additive processes that combine Lévy processes and regime switching models. Thus, the model takes into account two sources of risk: the jump diffusion...

Persistent link: https://www.econbiz.de/10012015778

No marginal arbitrage of the second kind for high production regimes in discrete time production-investment models with proportional transaction costs

Bouchard, Bruno; Huu, Adrien Nguyen - In: Mathematical finance : an international journal of … 23 (2013) 2, pp. 366-386

Persistent link: https://www.econbiz.de/10009722532

Semimartingale property and its connections to arbitrage

Samura, Sallieu Kabay; Mao, Junjun; Yao, Dengbao - In: Journal of mathematical finance 3 (2013) 2, pp. 237-241

Persistent link: https://www.econbiz.de/10010239605