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In this work, we identify the most general measure of arbitrage for any market model governed
by Itˆo processes. We show that our arbitrage measure is invariant under changes of num´eraire...
Statistical Arbitrage and Optimal Trading with Transaction Costs in Futures Markets
Statistical Arbitrage Optimal Trading Transaction Costs Futures Markets
2010/12/13
We consider the Brownian market model and the problem of expected utility maximization of terminal wealth. We, specifically, examine the problem of maximizing the utility of terminal wealth under the ...