Statistical Methods in Finance 2021

June 27 to July 1, 2021, 2-8pm IST


Relative arbitrage among investors

By Tomoyuki Ichiba
University of California, Santa Barbara, USA

The relative arbitrage portfolio, formulated in Stochastic Portfolio Theory (SPT), outperforms a market portfolio over a given time-horizon with probability one under some conditions on the volatilities in the market, where the optimal relative arbitrage can be characterized by the strict local martingales and the smallest nonnegative continuous solution of a Cauchy problem. In this talk, we consider two regimes: finitely many investors and mean-field, and the corresponding Nash equilibrium of investors who compete with a benchmark determined by the market portfolio and other investors' performance. With the market price of risk processes depending on the market portfolio and total volumes invested, we solve the multi-agent optimization problem under the framework of SPT. This is joint work with Tianjiao Yang.

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Call for Papers in Sankhya B: Special Issue on Recent Advances in Statistical Finance

The aim of this special issue is to feature research papers on theory, methodology, and applications of models and methods for recent advances in statistical finance. We encourage submissions presenting original works on statistical, computational, and mathematical approaches to modelling and analysis of financial data. Innovative applications and case studies in financial statistics are welcome, especially related to novel methodological challenges in the treatment of big data and high-frequency data.

This special issue will bring together contributions from practitioners and researchers working on different aspects of statistical methods in finance, with methodological interests encompassing, but not limited to, the following domains:

The motivating application areas could be: For More Detail ...

If you are a student and want your paper to be considered for student paper competition, then ask your supervisor to send a mail at, with a particular mention that you were the primary contributor and author of the paper by May 15, 2021.

You must submit your paper by May 15, 2021, to be considered for the competition. Mail your paper at

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