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- W1578421949 abstract "Litterman and Scheinkman (1991) show that a three factor PCA model of the term structure fits the data in a remarkable way and is useful for hedging. However, this model is not arbitrage free under the assumption that markets are frictionless. That is, there are zero cost portfolios with instantaneous risk free returns which may be different from zero. The paper derives a formula to computes those return, and shows that this formula holds quite accurately in real markets. This is despite of the fact it is inconsistent with no arbitrage in frictionless markets." @default.
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- W1578421949 date "2007-01-01" @default.
- W1578421949 modified "2023-09-25" @default.
- W1578421949 title "Exploiting Arbitrage Opportunities Imbedded in the Litterman and Scheinkman Term Structure Model" @default.
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- W1578421949 doi "https://doi.org/10.2139/ssrn.1068224" @default.
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