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Performance of Arbitrage Mutual Funds: Risk, Fund Size and Market Sentiments – Evidence from India
American Business ReviewWe examine the theory of decreasing returns to scale by assessing the impact of fund size on the performance of arbitrage mutual funds in India. Fund manager of arbitrage funds with large fund size tend to hold cash equivalents due to inadequate ...
DMV Lakshmi Velagala +2 more
doaj +1 more source
Coherent-Price Systems and Uncertainty-Neutral Valuation
Risks, 2019 This paper considers fundamental questions of arbitrage pricing that arises when the uncertainty model incorporates ambiguity about risk. This additional ambiguity motivates a new principle of risk- and ambiguity-neutral valuation as an extension of the ...
Patrick Beissner
doaj +1 more source
The Absence of Arbitrage on the Complete Black-Scholes-Merton Regime-Switching Lévy Market
Ekonometria, 2021 The main aim of the paper was to prove that the complete Black-Scholes-Merton regime- -switching Lévy market is characterized by an absence of arbitrage.
Anna Sulima
doaj
A note on the Fundamental Theorem of Asset Pricing under model uncertainty [PDF]
, 2014 We show that the results of ArXiv:1305.6008 on the Fundamental Theorem of Asset Pricing and the super-hedging theorem can be extended to the case in which the options available for static hedging (\emph{hedging options}) are quoted with bid-ask spreads ...
Bayraktar, Erhan +2 more
core +4 more sources
Convertible Bond Arbitrage: Risk and Return
Journal of Business Finance & Accounting, 2010 Abstract: This paper specifies a simulated convertible bond arbitrage portfolio to characterise the risks in convertible bond arbitrage. For comparison the risk profile of convertible bond arbitrage hedge fund indices at both monthly and daily frequencies is also examined.
Hutchinson, Mark C., Gallagher, Liam A.
openaire +2 more sources
The Bitter Taste of Brazil's Temporary Import Ban on Robusta Coffee
Agribusiness, EarlyView.ABSTRACT Brazil, a leading Robusta coffee producer and exporter, faced a significant drought in 2016–2017, which drastically reduced production and depleted stocks. Consequently, Brazil temporarily permitted the import of one million 60‐kg bags of Robusta coffee in the spring 2017. An import ban was imposed shortly afterward due to lobbying by domestic
Hanifi Otgun +2 more
wiley +1 more source
Pairs trading of nearly identical twin stocks: The case of GOOGL versus GOOG
South African Journal of Business ManagementPurpose: As computer technology and statistical methods advance, statistical arbitrage research focuses on developing more sophisticated trading methods.
Che-Ming Yang, An-Sing Chen
doaj +1 more source
Ensembling and Dynamic Asset Selection for Risk-Controlled Statistical Arbitrage
IEEE Access, 2021 In recent years, machine learning algorithms have been successfully employed to leverage the potential of identifying hidden patterns of financial market behavior and, consequently, have become a land of opportunities for financial applications such as ...
Salvatore M. Carta +4 more
doaj +1 more source
Agribusiness, EarlyView.ABSTRACT This study examines food price inflation rate convergence among EU27 Member States from 2005 to 2024, focusing on structural breaks, external shocks, and regional disparities. Using panel unit root tests and club convergence analysis, the findings reveal no overall convergence but identify multiple convergence clubs.
Tibor Bareith, Imre Fertő
wiley +1 more source
Risk-Neutral Pricing for Arbitrage Pricing Theory [PDF]
Journal of Optimization Theory and Applications, 2020 AbstractWe consider infinite-dimensional optimization problems motivated by the financial model called Arbitrage Pricing Theory. Using probabilistic and functional analytic tools, we provide a dual characterization of the superreplication cost. Then, we show the existence of optimal strategies for investors maximizing their expected utility and the ...
Carassus, Laurence, Rásonyi, Miklós
openaire +3 more sources