Stochastic Market Efficiency

Details Stochastic Market Efficiency Stochastic Market Efficiency

2011-01-24

arxiv.org/abs/1101.4548v1

Economy

Quantitative Finance

General Finance

5 figures

Scientific paper

It is argued that the simple trading strategy of leveraging or deleveraging
an investment in the market portfolio cannot outperform the market. Such
stochastic market efficiency places strong constraints on the possible
stochastic properties of the market. Historical data confirm the hypothesis.

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