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- W4301486578 abstract "Consider a discrete-time infinite horizon financial market model in which the logarithm of the stock price is a time discretization of a stochastic differential equation. Under conditions different from those given in a previous paper of ours, we prove the existence of investment opportunities producing an exponentially growing profit with probability tending to $1$ geometrically fast. This is achieved using ergodic results on Markov chains and tools of large deviations theory. Furthermore, we discuss asymptotic arbitrage in the expected utility sense and its relationship to the first part of the paper." @default.
- W4301486578 created "2022-10-05" @default.
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- W4301486578 date "2014-06-20" @default.
- W4301486578 modified "2023-09-29" @default.
- W4301486578 title "Asymptotic Exponential Arbitrage and Utility-based Asymptotic Arbitrage in Markovian Models of Financial Markets" @default.
- W4301486578 doi "https://doi.org/10.48550/arxiv.1406.5312" @default.
- W4301486578 hasPublicationYear "2014" @default.
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