On Mean-Variance Analysis of Arbitrage Opportunities
Arbitrage is a market operation that longs some assets and shorts some other assets at the same time with the net position being zero.A financial market offers an arbitrage opportunity if it has an arbitrage portfolio that will yield a sure profit.No arbitrage opportunity is an essential assumption of the financial theories.However,such a free lunch sometimes does exist in reality even though it is very hard to find.There is very little investigation concerning the optimal strategy to take the best of the arbitrage opportunities.Based on the definition of the return of arbitrage portfolio introduced in the authors previous work (Fang,2007),the mean-variance analysis for arbitrage opportunities is introduced.A numerical example is presented to show its advantage.
Arbitrage Opportunity Arbitrage Strategy Mean-Variance Analysis Return of Arbitrage Portfolio
Shuhong Fang
Department of Finance,School of Management,Fudan University,Shanghai,P.R.China,200433
国际会议
长沙
英文
155-161
2008-10-28（万方平台首次上网日期，不代表论文的发表时间）