Arguments on the existence of dynamic arbitrage and price manipulation strategies are often invoked to guide modeling … price impacts of large trades. We revisit the concept of dynamic arbitrage in illiquid markets in the presence of time …-dynamic arbitrage certificate. This result simplifies identifying price impact structures that rule out dynamic arbitrage and supports …

The Black-Scholes theory for a portfolio with an arbitrary number of shares, x, is expanded for the case of finite … liquidity. The analytical results are derived for linear market impact. As in the case of infinite liquidity (Schmidt, 2003 …), the arbitrage-free condition yields option price that depends on x. This is because the arbitrage-free condition alone …

– the Securities and Exchange Board of India (SEBI) are making Arbitrage funds get attention. Low risk, attractive tax … their arbitrage schemes with a minimum of 65 percent exposure to equity and equity-equivalent exposure to explore arbitrage … opportunities in the stock market for hedging or portfolio balancing. This paper examines if the fund managers of Indian arbitrage …

term premiums, and liquidity premiums. The estimation incorporates an observable liquidity factor that more comprehensively … captures limits to arbitrage implied by yield curve fitting errors, strictly eschews non-market information to provide more … regressions. The results imply counter-cyclical TIPS liquidity premiums as well as a steady secular decline in equilibrium real …

In a one price economy, the Fundamental Theorem of Asset Pricing (FTAP) establishes that no-arbitrage is equivalent to … the hyperplane that separates the attainable gain subspace and the convex cone representing arbitrage opportunities … anymore. We use convex optimization, and the conic property of this region to characterize the "no-arbitrage" principle in …

traced back to certain developments in economic theory since the so-called "marginalist revolution", which enabled the …

This is Part III of a series of papers which focus on a general framework for portfolio theory. Here, we extend a … general framework for portfolio theory in a one-period financial market as introduced in Part I [Maier-Paape and Zhu, Risks … approach, the “modular portfolio theory”, which is built from the interaction among four related modules: (a) multi period …