Geyer, Alois; Hanke, Michael; Weissensteiner, Alex - In: European Journal of Operational Research 236 (2014) 2, pp. 657-663
We derive no-arbitrage bounds for expected excess returns to generate scenarios used in financial applications. The bounds allow to distinguish three regions: one where arbitrage opportunities will never exist, a second where arbitrage may be present, and a third, where arbitrage opportunities...
