Arbitrage and investment opportunities
نویسندگان
چکیده
منابع مشابه
Arbitrage and investment opportunities
We consider a model in which any investment opportunity is described in terms of cash flows. We don’t assume that there is a numéraire, enabling investors to transfer wealth through time; the time horizon is not supposed to be finite and the investment opportunities are not specifically related to the buying and selling of securities on a financial market. In this quite general framework, we sh...
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This paper shows that arbitrage is limited if rational agents face uncertainty about completing their arbitrage portfolios. This “execution risk” arises in our model because there are slippages in asset prices as arbitrageurs compete for the limited supply of assets needed for a profitable arbitrage portfolio. This is distinct from the existing limits of arbitrage such as noise trader risk, fun...
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ژورنال
عنوان ژورنال: Finance and Stochastics
سال: 2001
ISSN: 0949-2984
DOI: 10.1007/pl00013537