is an arbitrage cap on its premium resulting from new issues. This censors the distribution of the premium and causes its …

markets. Issues concerning individualoptimality, (approximate) arbitrage,capital market equilibrium, and Pareto efficiency are …

equivalence of absence of arbitrage, the existence of a positive linear pricing rule, and the existence of an optimum for some …

limits to arbitrage and ii) financing constraints in the context of Q-theory of investments. The analyses employ new proxies … supporting the limits-to-arbitrage hypothesis is stronger, there is a fair amount of evidence that financing constraints also …

, volatility, and illiquidity, (ii) stronger commonalities pertain to more efficient (arbitrage-free) currencies, and (iii) the …

We use relative value to measure limits to arbitrage in fixed-income markets. Relative value captures apparent … deviations from no-arbitrage relationships. It is simple, intuitive and can be computed model-free for any bond. A pseudo … therefore a better proxy for limits to arbitrage. We construct relative value indices for the US, UK, Japan, Germany, Italy …

“Arbitrage CDOs” have recorded an explosive growth during the years before the outbreak of …

Geometric Arbitrage Theory reformulates a generic asset model possibly allowing for arbitrage by packaging all assets … discounting and portfolio rebalancing, and whose curvature measures, in this geometric language, the ''instantaneous arbitrage … for arbitrage.Results, obtained by solving explicitly the Schrödinger equations by means of spectral decomposition of the …