Time-Consistent Asymptotic Exponential Arbitrage with Small Probable Maximum Loss |
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Authors: | Jinfeng LI |
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Institution: | School of Management, Fudan University, Shanghai 200433,China. |
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Abstract: | Based on a concept of asymptotic exponential arbitrage proposed by
F{\"o}llmer-Schachermayer, the author introduces a new formulation
of asymptotic arbitrage with two main differences from the previous
one: Firstly, the realising strategy does not depend on the maturity
time while the previous one does, and secondly, the probable maximum
loss is allowed to be small constant instead of a decreasing
function of time. The main result gives a sufficient condition on
stock prices for the existence of such asymptotic arbitrage. As a
consequence, she gives a new proof of a conjecture of F\"ollmer and
Schachermayer. |
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Keywords: | Asymptotic arbitrage Time-consistent Small probable maximum loss |
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