On Optimal Risk/Return-Efficient Arbitrage Portfolio
Arbitrage portfolios arise extensively in the theory and practice of finance. However, compared to the standard portfolios, there are still somewhat little publications focusing on the anal)lies and empirical tests of the optimal arbitrage portfolios. Based on the comparison of the standard portfolio and the arbitrage portfolio, Fang (2006) introduces the strict definition of the arbitrage size, arbitrage portfolio and its return and then Fang (2007) and Fang (2008) respectively present mean-variance analyses for portfolios and arbitrage opportunities. However, it is very complicate to obtain the frontier arbitrage portfolio and there is no analytical formula for general frontier arbitrage portfolios since Fangs definition of the arbitrage portfolio includes a non-smooth condition. In this paper, compared with the Sharp ratio, the optimal risk/return-efficient arbitrage portfolio is introduced, which will be shown to be related to Korkie and Turtles frontier arbitrage portfolio (Korkie and Turtle, 2002), and hence to be expressed by an analytical formula.
Analytical Formula Arbitrage Portfolio KT-frontier arbitrage portfolio Optimal Risk/Return-Efficient Arbitrage Portfolio
Shuhong Fang
School of Management, Fudan University, Shanghai, P.R.China, 200433
国际会议
北京
英文
270-273
2009-07-24（万方平台首次上网日期，不代表论文的发表时间）