, portfolio constraints can lead to situations where not all arbitrage opportunities are necessarily eliminated in equilibrium …. For a world with portfolio constraints the concept of no arbitrage has to be replaced by a weaker concept which we call no … unlimited arbitrage. Second, though we can characterize prices which allow no unlimited arbitrage by the existence of certain …

highlights useful approaches to the problem of return measurement under conditions of illiquidity. Then, specific risk management …

In the presence of transactions costs, no matter how small, ar-bitrage activity does not necessarily render equal all … riskless rates ofreturn. When two such rates follow stochastic processes, it is not opti-mal immediately to arbitrage out any … discrepancy that arises betweenthem. The reason is that immediate arbitrage would induce a de…niteexpenditure of transactions …

In this paper we give a financial justification, based on non arbitrage conditions,of the (H) hypothesis in default …

models satisfying the natural static arbitrage bounds across strikes. We next characterize absence of dynamic arbitrage for …, and hence of arbitrage-free multi-strike market models of option prices. …

no-arbitrage condition between renting and buying a house. It states that the period costs are equal to the rents. The …

There is an extensive literature claiming that it is often difficultto make use of arbitrage opportunities in financial … markets. Thispaper provides a new reason why existing arbitrage opportunitiesmight not be seized. We consider a world with … short-lived securities,no short-selling constraints and no transaction costs. We show thatto exploit all existing arbitrage …

We study arbitrage opportunities in diverse markets as introduced by R. Fernholz in [2]. By a change of measure …-equivalent measure change which implies the existence of instantaneous arbitrage opportunities in diverse markets. For this technique to …

arbitrage, which requires a minimum divergence before the costs of arbitrage can be recouped. In this paper, we examine this … reasoning. If arbitrage was indeed the cause of mean reversion, one would expect to see a quantity respose of trade flows at the …