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.
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.
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)