A Mean-VaR Analysis of Arbitrage Arbitrage Portfolios

摘要：

Based on the definition of arbitrage portfolio and its return introduced in Fang (2006), the mean-VaR analysis for arbitrage portfolios is presented. The calculation of the mean-VaR arbitrage frontier is discussed which is related to the mean-variance arbitrage frontier. Moreover a practical example is presented.

关键词： Arbitrage portfolio Value-at-Risk (VaR) Mean-VaR frontier of arbitrage portfolios

作者: Shuhong Fang

作者单位: School of Management,Fudan University,Shanghai,P.R.China,200433

会议类型: 国际会议

会议名称: 2009 IEEE International Conference on Intelligent Computing and Intelligent Systems(2009 IEEE 智能计算与智能系统国际会议)

会议地点: 上海

会议语种:英文

页码: 704-707

在线出版日期: 2009-11-20（万方平台首次上网日期，不代表论文的发表时间）