CEU Electronic Theses and Dissertations, 2010
| Author | Mbele Bidima, Martin Le Doux |
|---|---|
| Title | Asymptotic Arbitrage Strategies for Long-Term Investments in Discrete-Time Financial Markets |
| Summary | In the thesis, I consider discrete-time models of financial markets where the prices process of the risky asset follows a Markov chain taking values in a subinterval of the real line. Motivated by recent articles, we investigate the possibility of realizing arbitrage as the time horizon tends to infinity. Under suitable hypotheses, we construct explicit trading strategies which provid linear/exponential growth of wealth as the time horizon T tends to infinity with a probability converging to 1. Using Large Deviations Theory, we refine this result showing that the probability in question tends to 1 geometrically fast, under suitable hypotheses. Finally we consider arbitrage in the sens that the expected utility of investors tend to the maximal achievable utility. I investigate how our previously constructed strategies perform in that sens. |
| Supervisor | Dr Rasonyi Miklos, ZSTAKI, Budapest - Edinburgh, UK |
| Department | Mathematics PhD |
| Full text | https://www.etd.ceu.edu/2010/mbele-bidima.pdf |
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