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Ordering Arbitrage Portfolios and Finding Arbitrage Opportunities

Arvanitis, Stelios; Post, Thierry - 2021

Concepts are introduced for analyzing arbitrage portfolios in the face of ambiguity about investor risk preferences and … initial portfolio holdings. A Stochastic Arbitrage Opportunity is a self-financing overlay portfolio which enhances every … the solvability of a system of asset pricing restrictions for the base assets. An asymptotic statistical theory is …

Persistent link: https://www.econbiz.de/10013232313

An improved test for statistical arbitrage

Jarrow, Robert A.; Teo, Melvyn; Tse, Yiu Kuen; … - In: Journal of financial markets 15 (2012) 1, pp. 47-80

Persistent link: https://www.econbiz.de/10009356613

Semimartingale property and its connections to arbitrage

Samura, Sallieu Kabay; Mao, Junjun; Yao, Dengbao - In: Journal of mathematical finance 3 (2013) 2, pp. 237-241

Persistent link: https://www.econbiz.de/10010239605

Behavioral investment strategy matters : a statistical arbitrage approach

Sun, David S.; Tsai, Shih-chuan; Wang, Wei - In: Emerging markets finance & trade : a journal of the … 49 (2013), pp. 47-61

Persistent link: https://www.econbiz.de/10010204877

No marginal arbitrage of the second kind for high production regimes in discrete time production-investment models with proportional transaction costs

Bouchard, Bruno; Huu, Adrien Nguyen - In: Mathematical finance : an international journal of … 23 (2013) 2, pp. 366-386

Persistent link: https://www.econbiz.de/10009722532

Asymptotic arbitrage with small transaction costs

Klein, Irene; Lépinette, Emmanuel; Perez-Ostafe, Lavinia - In: Finance and stochastics 18 (2014) 4, pp. 917-939

Persistent link: https://www.econbiz.de/10010416822

Small transaction costs, absence of arbitrage and consistent price systems

Grépat, Julien; Kabanov, Jurij M. - In: Finance and stochastics 16 (2012) 3, pp. 357-368

Persistent link: https://www.econbiz.de/10009562323

Mathematizing risk: models, arbitrage and crises

MacKenzie, Donald - In: Organizational encounters with risk, (pp. 167-189). 2005

Persistent link: https://www.econbiz.de/10003324724

Fixed income arbitrage

Rachlin, Ellen - In: Hedge fund investment management, (pp. 1-10). 2005

Persistent link: https://www.econbiz.de/10003227115

Interest-rate modeling conundrums

Lin, Peter C. L. - In: Journal of mathematical finance 4 (2014) 5, pp. 328-332

Persistent link: https://www.econbiz.de/10011312409