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The Journal of Finance, 1985
ABSTRACTThis paper characterizes conditions under which asset returns and consumption are consistent with risk‐averse preferences. It is shown that risk aversion is equivalent to “zero arbitrage” on a transformation of the payoff space. The implicit state prices which are dual to this no‐arbitrage condition can be interpreted as prices of “pure ...
Green, Richard C, Srivastava, Sanjay
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ABSTRACTThis paper characterizes conditions under which asset returns and consumption are consistent with risk‐averse preferences. It is shown that risk aversion is equivalent to “zero arbitrage” on a transformation of the payoff space. The implicit state prices which are dual to this no‐arbitrage condition can be interpreted as prices of “pure ...
Green, Richard C, Srivastava, Sanjay
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1998
The chapter starts with a detailed discussion of the bank account in discrete and continuous time. The Black–Scholes model is then introduced, and using the principle of no arbitrage we study the problem of pricing an arbitrary financial derivative within this model.
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The chapter starts with a detailed discussion of the bank account in discrete and continuous time. The Black–Scholes model is then introduced, and using the principle of no arbitrage we study the problem of pricing an arbitrary financial derivative within this model.
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Approximate Arbitrage: The Arbitrage Pricing Technique
1991This chapter extends the concept of arbitrage to encompass approximate arbitrage and develops the arbitrage pricing technique (or APT); this may be interpreted as a generalisation of the version of the CAPM developed in Chapter 3.
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2008
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.
Gur Huberman, Zhenyu Wang
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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.
Gur Huberman, Zhenyu Wang
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, 1991 I report the results of nine experimental asset market sessions. The traded assets were contingent claims on two "states" with known state probabilities and identical aggregate payoffs across states. Since subjects could diversify away all idiosyncratic risks, this results in prices predicted to equal expected values regardless of risk preferences.
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1987
The Arbitrage Pricing Theory (APT) is due to Ross (1976a, 1976b). It is a one period model in which every investor believes that the stochastic properties of capital assets’ returns are consistent with a factor structure. Ross argues that if equilibrium prices offer no arbitrage opportunities, then the expected returns on these capital assets are ...
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The Arbitrage Pricing Theory (APT) is due to Ross (1976a, 1976b). It is a one period model in which every investor believes that the stochastic properties of capital assets’ returns are consistent with a factor structure. Ross argues that if equilibrium prices offer no arbitrage opportunities, then the expected returns on these capital assets are ...
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2004
An is an investment opportunity arbitrage opportunity that is guaranteed not to result in a loss and may (with positive probability) result in a gain. We have remarked that if an arbitrage opportunity exists, then prices will be adjusted to eliminate that opportunity.
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An is an investment opportunity arbitrage opportunity that is guaranteed not to result in a loss and may (with positive probability) result in a gain. We have remarked that if an arbitrage opportunity exists, then prices will be adjusted to eliminate that opportunity.
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Arbitrage Strategy Based on Arbitrage Profitability Index
2009 First International Workshop on Education Technology and Computer Science, 2009Concerning the arbitrage strategies to the multiple-period case, there is still far little research works. In this short note, arbitrage size and arbitrage profitability index (API) for a class of multi-period arbitrages are introduced. Then the arbitrage strategy based on the API is investigated and applied to the treasury bonds arbitrage.
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Martingales and arbitrage in multiperiod securities markets
, 1979J. Harrison, David M. Kreps
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