Outperforming the market portfolio with a given probability
pith:BSKAJJST Add to your LaTeX paper
What is a Pith Number?\usepackage{pith}
\pithnumber{BSKAJJST}
Prints a linked pith:BSKAJJST badge after your title and writes the identifier into PDF metadata. Compiles on arXiv with no extra files. Learn more
read the original 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.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.