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 …

provide a theory and empirical evidence showing that this liquidity mismatch can reduce market efficiency and increase the … fragility of these ETFs. We focus on corporate bond ETFs and examine the role of authorized participants (APs) in ETF arbitrage …. In addition to their role as dealers in the underlying bond market, APs also play a unique role in arbitrage between the …

This is Part III of a series of papers which focus on a general framework for portfolio theory. Here, we extend a … general framework for portfolio theory in a one-period financial market as introduced in Part I [Maier-Paape and Zhu, Risks … approach, the “modular portfolio theory”, which is built from the interaction among four related modules: (a) multi period …