portfolios exist. We call this situation regulatory arbitrage, and prove that it cannot be excluded – unless ρ is as conservative … measures, and give a necessary and sufficient characterization for regulatory arbitrage. We show that the presence or absence … of regulatory arbitrage for ρ is intimately linked to the interplay between the set of equivalent martingale measures …

-term electricity futures using the gas to generate the electricity to fulfill the futures contracts. The arbitrage consists of buying …

a multivariate reflected Brownian motion on the closure of a no-arbitrage region which is dictated by the assets' bid … vector of midprices is from the no-arbitrage bounds. When midprices are sufficiently far from the no-arbitrage edges, the … edge of the no-arbitrage region, the strategy executes a combination of market orders and limit orders to profit from …

I develop a model of statistical arbitrage trading in an environment with "fat-tailed" information. If risk …

arbitrage and show that the presence or absence of regulatory arbitrage for ES is intimately linked to the fine structure of … regulatory arbitrage for ES at confidence level α if and only if there exists an EMM Q ≈ P such that ll dQ/dP ll_∞ < 1 …

developed which completely characterizes all risk arbitrage opportunities which arise if a well-behaved pricing kernel does not … exist. The Stochastic Arbitrage system can account for market imperfections in the form of transactions costs and general … portfolio restrictions. An active trading strategy based on the Stochastic Arbitrage system for front-month S&P500 stock index …

In this paper we study the existence of arbitrage opportunities in a multi-asset market when risk-neutral marginal … distributions of asset prices are known. We first propose an intuitive characterization of the absence of arbitrage opportunities in … terms of copula functions. We then address the problem of detecting the presence of arbitrage by formalizing its resolution …

In this paper we study the existence of arbitrage opportunities in a multi-asset market when risk-neutral marginal … distributions of asset prices are known. We first propose an intuitive characterization of the absence of arbitrage opportunities in … terms of copula functions. We then address the problem of detecting the presence of arbitrage by formalizing its resolution …

This paper studies the implications of arbitrage in a large asset market under conditions of (Knightian) uncertainty ….First, I adapt the notion of arbitrage to a market in which the assets' returns are affected by uncertainty across probability … sufficient conditions that let the approximation degenerates to the traditional Ross' arbitrage pricing theory are provided …

We establish the equivalence between a principle of almost absence of arbitrage opportunities and nearly rational … and of stochastic choice functions. In the former a bounded arbitrage principle and its equivalent form as a nearly Pareto … aggregation rule on the individual assessments. In the latter we show that our general principle of limited arbitrage …