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Arbitrage Portfolios

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Author Info
Rodolfo Apreda

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Abstract

It should be expected from this paper an expansion on some distinctive issues regarding arbitrage portfolios: i) a definition on arbitrage portfolios that enables adjustments to SML and CML environments; ii) sufficient conditions to set up arbitrage portfolios against the SML and CML; iii) feasibility of separation portfolios to carry out arbitrage not only against SML but CML as well; iv) arbitrage of portfolios located in Treynor’s lines by using separation portfolios within a SML environment.

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Paper provided by Universidad del CEMA in its series CEMA Working Papers: Serie Documentos de Trabajo. with number 184.

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Date of creation: Feb 2001
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Handle: RePEc:cem:doctra:184

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. James Tobin, 1956. "Liquidity Preference as Behavior Towards Risk," Cowles Foundation Discussion Papers 14, Cowles Foundation, Yale University. [Downloadable!]
  2. Babcock, Guilford C, 1972. "A Note on Justifying Beta as a Measure of Risk," Journal of Finance, American Finance Association, vol. 27(3), pages 699-702, June. [Downloadable!] (restricted)
  3. Fama, Eugene F, 1973. "A Note on the Market Model and the Two-Parameter Model," Journal of Finance, American Finance Association, vol. 28(5), pages 1181-85, December. [Downloadable!] (restricted)
  4. Roll, Richard, 1978. "Ambiguity when Performance is Measured by the Securities Market Line," Journal of Finance, American Finance Association, vol. 33(4), pages 1051-69, September. [Downloadable!] (restricted)
  5. Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December. [Downloadable!] (restricted)
  6. Beja, Avraham, 1972. "On Systematic and Unsystematic Components of Financial Risk," Journal of Finance, American Finance Association, vol. 27(1), pages 37-45, March. [Downloadable!] (restricted)
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Rodolfo Apreda, 2001. "Arbitraging mispriced assets with separation portfolios to lessen total risk," CEMA Working Papers: Serie Documentos de Trabajo. 203, Universidad del CEMA. [Downloadable!]
  2. Rodolfo Apreda, 2003. "Simple and enlarged separation portfolios. On their Use when Arbitraging and Synthesizing Securities," CEMA Working Papers: Serie Documentos de Trabajo. 233, Universidad del CEMA. [Downloadable!]
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