Matches in SemOpenAlex for { <https://semopenalex.org/work/W2022272703> ?p ?o ?g. }
Showing items 1 to 92 of
92
with 100 items per page.
- W2022272703 abstract "In theory, an investor can make infinite profits by taking unlimited positions in an arbitrage. In reality, however, investors must satisfy margin requirements which completely change the economics of arbitrage. We derive the optimal investment policy for a risk-averse investor in a market where there are arbitrage opportunities. We show that is is often optimal to underinvest in the arbitrage by taking a smaller position than margin constraints allow. In some cases, it is actually optimal for an investor to walk away from a pure arbitrage opportunity. Even when the optimal policy is followed, the arbitrage strategy may underperform the riskless asset to have an unimpressive Sharpe ratio. Furthermore, the arbitrage portfolio typically experiences losses at some point before the final convergence date. These results have important implications for the role of arbitrageurs in financial markets." @default.
- W2022272703 created "2016-06-24" @default.
- W2022272703 creator A5014074156 @default.
- W2022272703 creator A5027835055 @default.
- W2022272703 date "2000-01-01" @default.
- W2022272703 modified "2023-09-30" @default.
- W2022272703 title "Losing Money on Arbitrage: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities" @default.
- W2022272703 cites W1963901383 @default.
- W2022272703 cites W1970022096 @default.
- W2022272703 cites W1984012821 @default.
- W2022272703 cites W1984755762 @default.
- W2022272703 cites W1985018066 @default.
- W2022272703 cites W1989882978 @default.
- W2022272703 cites W1990166247 @default.
- W2022272703 cites W1990800290 @default.
- W2022272703 cites W1993590103 @default.
- W2022272703 cites W2028783080 @default.
- W2022272703 cites W2036636216 @default.
- W2022272703 cites W2050643653 @default.
- W2022272703 cites W2064463575 @default.
- W2022272703 cites W2070440455 @default.
- W2022272703 cites W2084797347 @default.
- W2022272703 cites W2087854199 @default.
- W2022272703 cites W2091171880 @default.
- W2022272703 cites W2107539208 @default.
- W2022272703 cites W2113062208 @default.
- W2022272703 cites W2118320195 @default.
- W2022272703 cites W2135190204 @default.
- W2022272703 cites W2143161605 @default.
- W2022272703 cites W2160958948 @default.
- W2022272703 cites W2170713266 @default.
- W2022272703 cites W3122955062 @default.
- W2022272703 cites W3123661710 @default.
- W2022272703 cites W3125214412 @default.
- W2022272703 cites W3126129476 @default.
- W2022272703 cites W4231057775 @default.
- W2022272703 cites W4233968826 @default.
- W2022272703 doi "https://doi.org/10.2139/ssrn.246835" @default.
- W2022272703 hasPublicationYear "2000" @default.
- W2022272703 type Work @default.
- W2022272703 sameAs 2022272703 @default.
- W2022272703 citedByCount "46" @default.
- W2022272703 countsByYear W20222727032012 @default.
- W2022272703 countsByYear W20222727032013 @default.
- W2022272703 countsByYear W20222727032014 @default.
- W2022272703 countsByYear W20222727032015 @default.
- W2022272703 countsByYear W20222727032016 @default.
- W2022272703 countsByYear W20222727032017 @default.
- W2022272703 crossrefType "journal-article" @default.
- W2022272703 hasAuthorship W2022272703A5014074156 @default.
- W2022272703 hasAuthorship W2022272703A5027835055 @default.
- W2022272703 hasConcept C106159729 @default.
- W2022272703 hasConcept C142450864 @default.
- W2022272703 hasConcept C144133560 @default.
- W2022272703 hasConcept C160623529 @default.
- W2022272703 hasConcept C162324750 @default.
- W2022272703 hasConcept C171493342 @default.
- W2022272703 hasConcept C181236170 @default.
- W2022272703 hasConcept C2780821815 @default.
- W2022272703 hasConcept C42854785 @default.
- W2022272703 hasConcept C52008547 @default.
- W2022272703 hasConcept C556758197 @default.
- W2022272703 hasConcept C73688673 @default.
- W2022272703 hasConceptScore W2022272703C106159729 @default.
- W2022272703 hasConceptScore W2022272703C142450864 @default.
- W2022272703 hasConceptScore W2022272703C144133560 @default.
- W2022272703 hasConceptScore W2022272703C160623529 @default.
- W2022272703 hasConceptScore W2022272703C162324750 @default.
- W2022272703 hasConceptScore W2022272703C171493342 @default.
- W2022272703 hasConceptScore W2022272703C181236170 @default.
- W2022272703 hasConceptScore W2022272703C2780821815 @default.
- W2022272703 hasConceptScore W2022272703C42854785 @default.
- W2022272703 hasConceptScore W2022272703C52008547 @default.
- W2022272703 hasConceptScore W2022272703C556758197 @default.
- W2022272703 hasConceptScore W2022272703C73688673 @default.
- W2022272703 hasLocation W20222727031 @default.
- W2022272703 hasOpenAccess W2022272703 @default.
- W2022272703 hasPrimaryLocation W20222727031 @default.
- W2022272703 hasRelatedWork W1713505505 @default.
- W2022272703 hasRelatedWork W1991112490 @default.
- W2022272703 hasRelatedWork W2027891562 @default.
- W2022272703 hasRelatedWork W221566700 @default.
- W2022272703 hasRelatedWork W2347976213 @default.
- W2022272703 hasRelatedWork W2355276924 @default.
- W2022272703 hasRelatedWork W2363171451 @default.
- W2022272703 hasRelatedWork W2386799696 @default.
- W2022272703 hasRelatedWork W634388619 @default.
- W2022272703 hasRelatedWork W3111115273 @default.
- W2022272703 isParatext "false" @default.
- W2022272703 isRetracted "false" @default.
- W2022272703 magId "2022272703" @default.
- W2022272703 workType "article" @default.