Results 351 to 360 of about 37,249 (382)

An Aperitif on Arbitrage

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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Arbitrage Strategy Based on Arbitrage Profitability Index

2009 First International Workshop on Education Technology and Computer Science, 2009
Concerning 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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Arbitrage Pricing Theory

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 theory of capital asset pricing

, 1976
S. Ross
semanticscholar   +1 more source

Martingales and arbitrage in multiperiod securities markets

, 1979
J. Harrison, David M. Kreps
semanticscholar   +1 more source

Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500

European Journal of Operational Research, 2017
C. Krauss, Xuan Anh Do, Nicolas Huck
semanticscholar   +1 more source

No Unbounded Arbitrage, Weak No Market Arbitrage and No Arbitrage Price System Conditions: The Circular Results [PDF]

, 2008
Page and Wooders (1996) prove that the no-unbounded-arbitrage (NUBA) condition introduced by Page (1987) is equivalent to the existence of a no arbitrage price (NAPS) when no agent has non-null useless vectors. Allouch, Le Van and Page (2002) show that their generalized NAPS condition is actually equivalent to the weak-no-market-arbitrage (WNMA ...
Manh-Hung Nguyen, Thai Ha-Huy
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Mean‐ portfolio selection and ‐arbitrage for coherent risk measures

Mathematical Finance, 2022
Nazem Khan, Martin Herdegen
exaly  

Arbitrage

1987
Philip H. Dybvig, Stephen A. Ross
openaire   +1 more source

Generalized statistical arbitrage concepts and related gain strategies

Mathematical Finance, 2021
Thorsten Schmidt
exaly