. This research assess if it is possible successfully use interest rates sensitivity arbitrage in bond portfolio (also known … as convexity arbitrage) in financial praxis. This arbitrage is sparsely described in literature and an assessment about … its practical success is missing. Research methodology - Methodology steps: mathematical definition of given arbitrage …

We investigate whether transaction costs, arbitrage risk, and short-sale constraints explain the abnormal returns of … transaction costs and concentrated in the most easily arbitraged stocks, those with low arbitrage risk and short-sale constraints …. Moreover, the managed-market strategy only provides superior performance when sentiment is high, consistent with prior theory …

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 …