Statistical arbitrage with default and collateral
This paper studies the implications of the absence of statistical arbitrage opportunities in a two-period incomplete market economy where default is allowed but there are collateral requirements. Modified versions of the fundamental theorem of asset pricing are obtained.
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- Araujo, Aloisio & Fajardo, Jose & Pascoa, Mario R., 2005.
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- Esteves, Rui Pedro & Reis, Jaime & Ferramosca, Fabiano, 2009.
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- Matos, Joao Amaro de & Lacerda, Ana, 2006. "Dry Markets and Statistical Arbitrage Bounds for European Derivatives," FEUNL Working Paper Series wp479, Universidade Nova de Lisboa, Faculdade de Economia.
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