Stochastic measures of arbitrage

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dc.contributor.author Balbás, Alejandro
dc.contributor.author Muñoz-Bouzo, María José
dc.date.accessioned 2010-01-18T12:05:55Z
dc.date.available 2010-01-18T12:05:55Z
dc.date.issued 2002
dc.identifier.bibliographicCitation Top, 2002, vol.10, nº2, p. 289-324
dc.identifier.issn 1134-5764
dc.identifier.issn 1863-8279
dc.identifier.uri http://hdl.handle.net/10016/6471
dc.description.abstract Empirical research has provided evidence supporting the existence of arbitrage opportunities in real financial markets although market imperfections are often the main reason to explain these empirical deviations. Consequently, recent literature has turned the attention to imperfect markets in order to extend the most significant results on asset pricing. This paper develops several stochastic measures providing relative arbitrage earnings available in a financial market. The measures allow us to take into account different type of frictions. They are introduced by means of several dual pairs of vector optimization problems. Primal problems permit us to characterize the arbitrage absence even in an imperfect market and they also provide optimal arbitrage portfolios if the arbitrage absence fails. Dual ones allow us to extend the risk-neutral valuation methodology for imperfect and noarbitrage free markets and provide new interpretations for the measures in terms of “frictions effect” or “committed errors” in the valuation process.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Springer Berlin / Heidelberg
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Arbitrage
dc.subject.other isk-neutral probability measure
dc.subject.other market integration
dc.subject.other vector optimization
dc.subject.other dual problem
dc.subject.other duality gap
dc.title Stochastic measures of arbitrage
dc.type article
dc.type.review PeerReviewed
dc.description.status Publicado
dc.relation.publisherversion http://dx.doi.org/10.1007/BF02579021
dc.subject.eciencia Empresa
dc.identifier.doi 10.1007/BF02579021
dc.rights.accessRights openAccess
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