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Arbitrage Portfolios


  • Rodolfo Apreda


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.

Suggested Citation

  • Rodolfo Apreda, 2001. "Arbitrage Portfolios," CEMA Working Papers: Serie Documentos de Trabajo. 184, Universidad del CEMA.
  • Handle: RePEc:cem:doctra:184

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    References listed on IDEAS

    1. Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December.
    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.
    3. Rodolfo Apreda, 2000. "Differential Rates of Return and Residual Information Sets (A Discrete Approach)," CEMA Working Papers: Serie Documentos de Trabajo. 177, Universidad del CEMA.
    4. J. Tobin, 1958. "Liquidity Preference as Behavior Towards Risk," Review of Economic Studies, Oxford University Press, vol. 25(2), pages 65-86.
    5. 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 1181-1185, December.
    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.
    7. Roll, Richard, 1978. "Ambiguity when Performance is Measured by the Securities Market Line," Journal of Finance, American Finance Association, vol. 33(4), pages 1051-1069, September.
    8. Rodolfo Apreda, 2000. "A transaction costs approach to financial assets rates of return," CEMA Working Papers: Serie Documentos de Trabajo. 161, Universidad del CEMA.
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    Cited by:

    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.
    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.

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