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arXiv · 1510.02292

An example of short-term relative arbitrage

Robert Fernholz
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Abstract

Long-term relative arbitrage exists in markets where the excess growth rate of the market portfolio is bounded away from zero. Here it is shown that under a time-homogeneity hypothesis this condition will also imply the existence of relative arbitrage over arbitrarily short intervals.

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Robert Fernholz. 2015-10-08. An example of short-term relative arbitrage. https://arxiv.org/abs/1510.02292

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