We introduce the regulatory arbitrage of risk measures, one of the key considerations in choosing a suitable risk … measure to use in banking regulation. A regulatory arbitrage is the amount of capital requirement reduced by splitting a … regulatory arbitrage; dividing risks will not reduce the total capital requirement under a coherent risk measure. However, risk …

neither closed nor convex. Regarding hedging, non-linear hedging costs motivate the study of arbitrage free prices for the … of price impact. Additionally, we show arbitrage opportunities, should they arise from claim prices, can be exploited … only for limited position sizes, and may be ignored if outweighed by hedging considerations. We also show that arbitrage …

The Black-Scholes theory for a portfolio with an arbitrary number of shares, x, is expanded for the case of finite …), the arbitrage-free condition yields option price that depends on x. This is because the arbitrage-free condition alone … an arbitrage-free portfolio …

Classic option pricing theory values a derivative contract via dynamic replication, and views the derivative as … arbitrage. Because of these limits, derivative securities can play primary roles in risk allocation and investors can demand …

without factors, but with a continuum of securities that have returns driven by a string. In this model, the arbitrage …

This paper expands on a procedure to arbitrage mispriced assets against the benchmark provided by the Security Market … least total risk among other alternative portfolios. Coming next, such arbitrage is dealt directly with one single … separation portfolio, which grants that the total risk linked with the arbitrage portfolio equals the non-systematic risk …

In a one price economy, the Fundamental Theorem of Asset Pricing (FTAP) establishes that no-arbitrage is equivalent to … the hyperplane that separates the attainable gain subspace and the convex cone representing arbitrage opportunities … anymore. We use convex optimization, and the conic property of this region to characterize the "no-arbitrage" principle in …