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: Suggested Citation
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