a continuous portfolio choice model, in which stock returns exhibit both momentum and mean reversion, DC plan members … candidate and we show how a DC plan investor can benefit from market opportunities by taking advantage of the momentum and mean …

This paper analyses the impact of industrial diversification on the profitability of contrarian and momentum strategies …. Our findings show that the momentum strategy seems to be no more profitable in the recent years. In fact, while momentum … momentum effect for the non -diversified sample. After the crash, we identify a contrarian effect more important for this …

higher risk premia in the long run (instead of a flat structure), momentum in stock returns in the short run, more variance …

This article investigates momentum strategies in commodity markets. Using a Markov-switching model and formal tests for … the number of regimes in the data, we identify momentum trends for a variety of commodities, exchange rates, interest …

shares being used in arbitrage trades or by the indirect effect of ETF trading improving the liquidity of index stocks in the …

costs, even satisfying usual no-arbitrage properties, may admit arbitrage opportunities of the second kind. This means that …

In finite dimensional economies, it was proven by Werner [Werner, J., 1987. Arbitrage and the existence of competitive … equilibrium. Econometrica 55, 1403–1418.], that if there exists a no-arbitrage price (equivalently, under standard assumptions on … “of no-arbitrage price”. We define “fair utility weight vectors” as utility weight vectors for which the representative …

absence of arbitrage opportunities is equivalent to the existence of a discount rate such that the net present value of all …

In securities markets, the characterization of the absence of arbitrage by the existence of state price deflators is ….M., 1981. Arbitrage and equilibrium in economies with infinitely many commodities. Journal of Mathematical Economics 8, 15 …-like condition”.We apply this result to the characterization of the no-arbitrage assumption in a general intertemporal framework. …