Showing 151 - 160 of 686,435
Persistent link: https://www.econbiz.de/10009536049
benchmark discourages arbitrage activity in both high-alpha, low-beta stocks and low-alpha, high-beta stocks …
Persistent link: https://www.econbiz.de/10013131199
We survey theoretical developments in the literature on the limits of arbitrage. This literature investigates how costs …
Persistent link: https://www.econbiz.de/10013136134
In this work, we identify the most general measure of arbitrage for any market model governed by Ito processes. We show … that our arbitrage measure is invariant under changes of numeraire and equivalent probability. Moreover, such measure has a … geometrical interpretation as a gauge connection. The connection has zero curvature if and only if there is no arbitrage. We prove …
Persistent link: https://www.econbiz.de/10013116848
that the credit-centric approach drives Alpha, focuses managers on the most difficult part of the arbitrage process, can …
Persistent link: https://www.econbiz.de/10013125771
Corporation (HSBC) did not suffer from traditional external limits to arbitrage such as transactions costs and risk measures. One … possible explanation is that self-imposed limits to arbitrage (SILTA) such as internal restrictions on position size allowed …
Persistent link: https://www.econbiz.de/10013102385
In frictionless markets, the absence of arbitrage opportunities is equivalent to the existence of a martingale process … costs, absence of arbitrage opportunities is related to the existence of a consistent price system; It plays the same role … asset is nonnegative. The Robust No Free Lunch condition RNFL means that the absence of asymptotic arbitrage opportunities …
Persistent link: https://www.econbiz.de/10013107807
This paper offers a financial economic perspective on the optimal time (and age) at which the owner of a Variable Annuity (VA) policy with a Guaranteed Living Withdrawal Benefit (GLWB) rider should initiate guaranteed lifetime income payments. We abstract from utility, bequest and consumption...
Persistent link: https://www.econbiz.de/10013086117
Empirical modeling of the yield curve is often inconsistent with absence of arbitrage. In fact, many parsimonious … models, like the popular Nelson-Siegel model, are inconsistent with absence of arbitrage. In other cases, arbitrage … introduces an arbitrage smoothing device to control arbitrage errors that arise in fitting a sequence of yield curves. The device …
Persistent link: https://www.econbiz.de/10013153495
The no arbitrage conditions are derived in the explicit form for the market, where the zero coupons bonds of various … assets is extended on case of any number of assets and inflation. The no arbitrage condition for multi-factor models of a … obtained at first, and then for want of it fulfillment the no arbitrage condition is derived …
Persistent link: https://www.econbiz.de/10013156291