fund or strategy provides, whether the net expense ratio is reasonable for the style exposures provided and the efficiency … measures of style efficiency, one related to the expected style return of the strategy per bps of net expense ratio, which I … refer to as the Cost Efficiency Ratio (CER), and one related to the expected style return of the strategy relative to …

In frictionless markets, the absence of arbitrage opportunities is equivalent to the existence of a martingale process … costs, absence of arbitrage opportunities is related to the existence of a consistent price system; It plays the same role … as the martingale measure in the frictionless case. This is a martingale evolving in the solvency cone. The solvency cone …

costs, even satisfying usual no-arbitrage properties, may admit arbitrage opportunities of the second kind. This means that …

In general multi-asset models of financial markets, the classic no-arbitrage concepts NFLVR and NUPBR have the serious … introduce a new way of defining “absence of arbitrage”. It rests on the new notion of a strategy being strongly share maximal … and allows us to generalise both NFLVR (by dynamic share efficiency) and NUPBR (by dynamic share viability). These new …

The aim of this study is to extend the literature by extensively investigating the efficiency of banks in Saudi Arabia … and examining its relationship with stock performance through relying on six measures of efficiency (three price … used to empirically test the impact of the efficiency changes on bank stock returns. The results indicate that Saudi banks …