Arbitrage Portfolios

Rodolfo Apreda ()

No 184, CEMA Working Papers: Serie Documentos de Trabajo. from Universidad del CEMA

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.

Date: 2001-02
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