Outperforming the market portfolio with a given probability Journal Article uri icon

Overview

abstract

  • Our goal is to resolve a problem proposed by Fernholz and Karatzas [On optimal arbitrage (2008) Columbia Univ.]: to characterize the minimum amount of initial capital with which an investor can beat the market portfolio with a certain probability, as a function of the market configuration and time to maturity. We show that this value function is the smallest nonnegative viscosity supersolution of a nonlinear PDE. As in Fernholz and Karatzas [On optimal arbitrage (2008) Columbia Univ.], we do not assume the existence of an equivalent local martingale measure, but merely the existence of a local martingale deflator.

publication date

  • August 1, 2012

has restriction

  • bronze

Date in CU Experts

  • January 25, 2017 8:50 AM

Full Author List

  • Bayraktar E; Huang Y-J; Song Q

author count

  • 3

Other Profiles

International Standard Serial Number (ISSN)

  • 1050-5164

Electronic International Standard Serial Number (EISSN)

  • 2168-8737

Additional Document Info

start page

  • 1465

end page

  • 1494

volume

  • 22

issue

  • 4