Stochastic Arbitrage Opportunities : Set Estimation and Statistical Testing

A Stochastic Arbitrage Opportunity is defined as a zero-cost investment portfolio that enhances every feasible benchmark portfolio for all admissible utility functions. The present study provides a formal theory of consistent estimation of the set of arbitrage opportunities and an Empirical Likelihood Ratio test for testing whether a given arbitrage portfolio is an arbitrage opportunity

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Year of publication:	2022
Authors:	Arvanitis, Stelios ; Post, Thierry
Publisher:	[S.l.] : SSRN
Subject:	Arbitrage \| Schätztheorie \| Estimation theory \| Stochastischer Prozess \| Stochastic process \| Statistischer Test \| Statistical test

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Extent:	1 Online-Ressource (16 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 5, 2022 erstellt
Other identifiers:	10.2139/ssrn.4268835 [DOI]
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; G11 - Portfolio Choice
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014237302