This paper specifies a simulated convertible bond arbitrage portfolio to characterise the risks in convertible bond … arbitrage. For comparison the risk profile of convertible bond arbitrage hedge fund indices at both monthly and daily … frequencies is also examined. Results indicate that convertible bond arbitrage is positively related to default and term structure …

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

extension of the paper by Ross (1976) (Ross, Stephen A. 1976. The arbitrage theory of capital asset pricing. Journal of Economic … and arbitrage in multiperiod securities markets. Journal of Economic Theory 20: 381–408), the paper establishes a micro …This paper considers fundamental questions of arbitrage pricing that arises when the uncertainty model incorporates …