, 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 …

here that integrality constraints can often be relaxed. In fact, simple mathematical programming, aimed at arbitrage or …

firms competing in a Cournot fashion. While limitless consumer arbitrage forces a monopolist to deviate from its optimal …

spreads across currencies allow for substantial deviations from common measures of CIP without implying arbitrage … to persistent arbitrage opportunities in long-dated fixed income markets. …

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 …

between the S&P 500 futures and cash indexes. Discontinuous arbitrage suggests that a threshold error correction mechanism may … futures and cash indexes. The results indicate that nonlinear dynamics are important and related to arbitrage and suggest that … arbitrage is associated with more rapid convergence of the basis to the cost of carry than would be indicated by a linear model. …

return matrix allows for redundant assets. Prices of assets may permit arbitrage. At equilibrium, though restricted through … endogenously determined trading constraints, arbitrage possibilities may persist; in an example, an individual holds an arbitrage …

This paper provides real-time evidence on the frequency, size and duration of arbitrage opportunities and deviations … parity (CIP) condition ('round-trip arbitrage') and inter-market price differentials ('one-way arbitrage') using a unique …

persistence and find substantial reversion. We also test for possible arbitrage opportunities in the form of excess returns. Once … arbitrage in excess of the market return. The overall impression is that the Norwegian housing market is relatively micro …