关于最优套利

Daniel Fernholz, I. Karatzas
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引用次数: 84

摘要

在金融市场的马尔可夫模型中,我们根据抛物线型偏微分不等式的最小正解,描述了使用非预期投资策略可以实现的市场投资组合的最佳套利;这完全取决于模型的协方差结构。该解与严格局部鞅的性质密切相关,并用于生成实现最佳可能套利的投资策略。对非马尔可夫情形也作了一些扩展。
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On optimal arbitrage
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.
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