The thesis consists of two essays: "The CAPM -- A General Equilibrium Foundation" and "The Foreign Exchange Rate in … Financial Markets".The Capital Asset Pricing Model (CAPM) is one of the most successful models for portfolio selection. The … advantages are the simple risk measure and the quite applicable properties of CAPM-equilibria: The Mutual Fund Theorem, the Beta …

portfolio restrictions, there is a need to differentiate individual arbitrage opportunities from those at the aggregate level …), this difference in the notion of arbitrage at the individual level and the aggregate level is characterized. Extending the … 2-date result of Hens et al., we show that generically there will be some arbitrage opportunities that remain …

with restricted participation. We then provide a characterization of reduced financial structures in terms of arbitrage …

Capital Asset Pricing Model (CAPM) and the ArbitragePricing Theory (APT). The models were tested using data for the period … between 1972to 1993.Test of the CAPM was conducted by examining the relationship between stocksreturns and systematic risk as …

volatility of the underlying component stocks. Traditional finance theory asserts that futures and "cash" markets are connected … by arbitrage mechanism that brings both markets to equilibrium. When arbitrage opportunities arise, arbitrageurs buy … return to theoretical levels. Such mechanical arbitrage trading tends to create large order flows that could be difficult for …

This paper, after giving a short introduction to hedge fund industry, studies arbitrage strategies. We consider two … makes profit. Arbitrage position can generate losses if the spread widens before converging. Short selling is almost always … done with a collateral requirement. For this reason, arbitrage position can generate losses if the spread widens before …