Fang, Shuhong - In: Physica A: Statistical Mechanics and its Applications 375 (2007) 2, pp. 625-632
Based on the careful analysis of the definition of arbitrage portfolio and its return, the author presents a mean …–variance analysis of the return of arbitrage portfolios, which implies that Korkie and Turtle's results ( B. Korkie, H.J. Turtle, A mean … difference between the arbitrage portfolio frontier and the usual portfolio frontier. …