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Market selection and survival of investment strategies

Article Abstract:

The process of market selection of investment strategies in an incomplete market of short-lived assets is analyzed. A model to study asset payoffs depending on exogenous random factors is presented.

Author: Amir, Rabah, Schenk-Hoppe, Klaus Reiner, Hens, Thorsten, Evistigneev, Igor V.
Publisher: Elsevier B.V.
Publication Name: The Journal of Mathematical Economics
Subject: Mathematics
ISSN: 0304-4068
Year: 2005
United Kingdom, Analysis, Investments, Investment management, Econometric models

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Limits to arbitrage when market participation is restricted

Article Abstract:

The usage of arbitrage opportunities and their limitations in financial markets are studied.

Author: Hens, Thorsten, Herings, Jean-Jacques P., Predtetchinskii, Arkadi
Publisher: Elsevier B.V.
Publication Name: The Journal of Mathematical Economics
Subject: Mathematics
ISSN: 0304-4068
Year: 2006
Netherlands, Forecasts, trends, outlooks, Switzerland, Usage, Economic aspects, Forecasts and trends, Market trend/market analysis, Arbitrage

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Subjects list: Financial markets
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