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SUMMARY:Volatility and arbitrage: short- and long-term relative arbitrage 
 in stochastic portfolio theory - Johannes Ruf\, LSE
DTSTART:20181101T130000Z
DTEND:20181101T140000Z
UID:TALK112657@talks.cam.ac.uk
CONTACT:14008
DESCRIPTION:The capitalization-weighted cumulative variation   in an equit
 y market\nconsisting of a fixed number of assets with capitalization weigh
 ts\, is an observable and a nondecreasing function of time.\nIf this obser
 vable of the market is not just nondecreasing but actually\ngrows at a rat
 e bounded away from zero\, then strong arbitrage can be\nconstructed relat
 ive to the market over sufficiently long time horizons.\nIt has been an op
 en issue for more than ten years\, whether such strong\noutperformance of 
 the market is possible also over arbitrary time\nhorizons under the stated
  condition. We show that this is not possible\nin general\, thus settling 
 this long-open question. We also show that\,\nunder appropriate additional
  conditions\, outperformance over any time\nhorizon indeed becomes possibl
 e\, and exhibits investment strategies that\naffect it. Joint work with Bo
 b Fernholz and Ioannis Karatzas.
LOCATION:CMS\, MR15
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