Montag, 18. April 2016, 16:45 - 18:15 iCal

ISOR Colloquium

"On Asymptotic Exponential Arbitrage"

Speaker: Ariel Neufeld (ETH Zurich)

Sky Lounge OMP1, 12th Floor
Oskar-Morgenstern-Platz 1, 1090 Vienna


We present a result conjectured in Föllmer and Schachermayer [FS07], even in slightly more general form. Suppose that S is a continuous semimartingale and satisfies a large deviations estimate; this is a particular growth condition on the mean-variance tradeoff process of S. We show that S then allows asymptotic exponential arbitrage with exponentially decaying failure probability, which is a strong and quantitative form of long-term arbitrage. This talk is based on a joint work with Kai Du.

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Institut für Statistik und Operations Rearch


Mag. Vera Lehmwald
Fakultät für Wirtschaftswissenschaften
Institut für Statistik und Operations Research
+43 1 4277 38651