Large markets: asymptotic arbitrage and portfolio optimisation

<p>In this thesis, we aim to shed some light on the intricate behaviour of large, correlated financial markets, the existence or absence of asymptotic arbitrage in such a model and its connection to optimal investing. Therefore we will approximate these finite large markets by infinite-sized m...

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Bibliographic Details
Main Author: Dub, A
Other Authors: Hambly, B
Format: Thesis
Published: 2016