We analyse questions of arbitrage in fnancial markets in which asset prices change in time as stationary stochastic … framework of this model, we find conditions that are necessary and sufficient for the absence of arbitrage opportunities. We …

, i.e. no single stock can dominate the entire market, and we show that beta-arbitrage strategies mechanically out …, individual stocks, and stock portfolios. Finally, we show how to construct optimal beta- arbitrage strategies that maximize the …

converges to zero inclusive of liquidity costs. An arbitrage-free interval is identified and in contrast to transaction costs …

This paper investigates the limit properties of mean-variance (mv) and arbitrage pricing (ap) trading strategies using … literature for the exact pricing case to two other cases of asymptotic no-arbitrage and the unconstrained pricing scenarios. The …