No-Arbitrage Bounds for Financial Scenarios

Autor: Geyer, Alois, Hanke, Michael, Weissensteiner, Alex
Jazyk: angličtina
Rok vydání: 2014
Předmět:
Druh dokumentu: Článek
DOI: 10.1016/j.ejor.2014.01.027
Popis: We derive no-arbitrage bounds for expected excess returns to generate scenarios used in financial applications. The bounds allow to distinguish three regions: one where arbitrage opportunities will never exist, a second where arbitrage may be present, and a third, where arbitrage opportunities will always exist. No-arbitrage bounds are derived in closed form for a given covariance matrix using the least possible number of scenarios. Empirical examples illustrate the practical potential of knowing these bounds. (authors' abstract)
Databáze: Networked Digital Library of Theses & Dissertations
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