英文标题：
《Variations on an example of Karatzas and Ruf》
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作者：
Robert Fernholz
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最新提交年份：
2015
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英文摘要：
Markets composed of stocks with capitalization processes represented by positive continuous semimartingales are studied under the condition that the market excess growth rate is bounded away from zero. The following examples of these markets are given: i) a market with a singular covariance matrix and instantaneous relative arbitrage; ii) a market with a singular covariance matrix and no arbitrage; iii) a market with a nonsingular covariance matrix and no arbitrage; iv) a market with a nonsingular covariance matrix and relative arbitrage over an arbitrary time horizon.
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中文摘要：
在市场超额增长率远离零的条件下，研究了资本化过程为正连续半鞅的股票市常给出了这些市场的以下例子：i）具有奇异协方差矩阵和瞬时相对套利的市场；ii）具有奇异协方差矩阵且无套利的市场；iii）具有非奇异协方差矩阵且无套利的市场；iv）在任意时间范围内具有非奇异协方差矩阵和相对套利的市常
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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