^d-valued process. A strategy H is called extreme if it represents a maximal arbitrage opportunity. By this we mean that H generates at … zero. We characterize those subsets of F^e, on which no arbitrage opportunities exist. …

Focusing on capital asset returns governed by a factor structure, the Arbitrage Pricing Theory (APT) is a one …-period model, in which preclusion of arbitrage over static portfolios of these assets leads to a linear relation between the … expected return and its covariance with the factors. The APT, however, does not preclude arbitrage over dynamic portfolios …

This paper investigates the limit properties of mean-variance (mv) and arbitrage pricing (ap) trading strategies using … literature for the exact pricing case to two other cases of asymptotic no-arbitrage and the unconstrained pricing scenarios. The …

following two respects: (a) the result is extended to a model with portfolio constraints; (b) versions of the no-arbitrage … criterion based on the bang-bang principle in control theory are developed. …

an exact arbitrage pricing theory (EAPT), we go beyond the characterization of the existence of important portfolios … of explicit portfolio weights. Such an analysis has not been furnished before in the context of the asymptotic arbitrage … pricing theory (APT). We also characterize conditions under which a mean-variance efficient portfolio is a benchmark portfolio …

Using a stochastic discount factor approach, we derive the exact solution for arbitrage-free bond yields for the case …

Pragmatic-world nominal riskless rates are non-negative. However, conventional arbitrage theory has yet to develop a …