Arbitrage Portfolios

21 Pages Posted: 26 Aug 2002

Date Written: July 2002

Abstract

It should be expected from this paper an expansion on some distinctive issues regarding arbitrage portfolios: i) a definition on arbitrage portfolios that enables adjustments to SML and CML environments; ii) sufficient conditions to set up arbitrage portfolios against the SML and CML; iii) feasibility of separation portfolios to carry out arbitrage not only against SML but CML as well; iv) arbitrage of portfolios located in Treynor's lines by using separation portfolios within a SML environment.

Keywords: Arbitrage portfolios, separation portfolios, security market line, capital market line

JEL Classification: G12, G11

Suggested Citation

Apreda, Rodolfo, Arbitrage Portfolios (July 2002). Available at SSRN: https://ssrn.com/abstract=322320 or http://dx.doi.org/10.2139/ssrn.322320

Rodolfo Apreda (Contact Author)

University of CEMA ( email )

Department of Finance Room 612
Buenos Aires, C1054AAP
Argentina
5411 6314 3000 (Phone)
5411 4803 0429 (Fax)