Showing q-fin.MFShow all
2 papers · 1 filter
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…