3 papers
q-fin.CP2024
Finding the nonnegative minimal solutions of Cauchy PDEs in a volatility-stabilized market
Nicole Tianjiao Yang, Tomoyuki Ichiba
The strong relative arbitrage problem in Stochastic Portfolio Theory seeks an investment strategy that almost surely outperforms a benchmark portfolio at the end of a given time ho…
q-fin.MF2023
Relative Arbitrage Opportunities in an Extended Mean Field System
Nicole Tianjiao Yang, Tomoyuki Ichiba
This paper studies relative arbitrage opportunities in a market with competitive investors through stochastic differential games in the limit as the number of players tends to infi…
q-fin.MF2020
Relative Arbitrage Opportunities with Interactions among Investors
Tomoyuki Ichiba, Nicole Tianjiao Yang
The relative arbitrage portfolio outperforms a benchmark portfolio over a given time-horizon with probability one. With market price of risk processes depending on the market portf…