Journal of Risk
ISSN:
1465-1211 (print)
1755-2842 (online)
Editor-in-chief: Farid AitSahlia
Risk-averse dynamic arbitrage in illiquid markets
Need to know
- To rule out dynamic arbitrage, trades adapted to the price process filtration should be searched.
- The concept of risk-averse dynamic arbitrage using a time-consistent dynamic risk measure is introduced.
- Sufficient conditions are established to certify no-dynamic arbitrage by only searching in the space of $\mathcal F_0$-measurable admissible round-trip trades.
Abstract
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Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
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