2015/10/08 by Fernholz, Robert
#91G10 #FOS: Economics and business #Mathematical Finance (q-fin.MF)
paper · doi:10.48550/arxiv.1510.02292
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.