46 citations · 78 across the 2 of their papers we have counts for
2 papers
math.PR2012★ 32 cited
Optimal arbitrage under model uncertainty
Daniel Fernholz, Ioannis Karatzas
In an equity market model with "Knightian" uncertainty regarding the relative risk and covariance structure of its assets, we characterize in several ways the highest return relati…
q-fin.CP2010★ 46 cited
On optimal arbitrage
Daniel Fernholz, Ioannis Karatzas
In a Markovian model for a financial market, we characterize the best arbitrage with respect to the market portfolio that can be achieved using nonanticipative investment strategie…