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An example of short-term relative arbitrage
Published 8 Oct 2015 in q-fin.MF | (1510.02292v1)
Abstract: Long-term relative arbitrage exists in markets where the excess growth rate of the market portfolio is bounded away from zero. Here it is shown that under a time-homogeneity hypothesis this condition will also imply the existence of relative arbitrage over arbitrarily short intervals.
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