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  • Shuhong Fang
  • 2009
Concerning the arbitrage strategies to the multiple-period case, there is still far little research works. In this short note, arbitrage size and arbitrage profitability index (API) for a class of multi-period arbitrages are introduced. Then the arbitrage strategy based on the API is investigated and applied to the treasury bonds arbitrage.
  • Shuhong Fang
  • 2009
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 analytics and empirical tests of the optimal arbitrage portfolios. Based on the comparison of the standard portfolio and the arbitrage portfolio, Fang (2006) introduces the(More)
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