A Mean–variance analysis of arbitrage portfolios

Shuhong Fang

Physica A: Statistical Mechanics and its Applications, 2007, vol. 375, issue 2, 625-632

Abstract: Based on the careful analysis of the definition of arbitrage portfolio and its return, the author presents a mean–variance analysis of the return of arbitrage portfolios, which implies that Korkie and Turtle's results ( B. Korkie, H.J. Turtle, A mean–variance analysis of self-financing portfolios, Manage. Sci. 48 (2002) 427–443) are misleading. A practical example is given to show the difference between the arbitrage portfolio frontier and the usual portfolio frontier.

Keywords: Arbitrage portfolio; Return of arbitrage portfolio; Mean–variance analysis (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:375:y:2007:i:2:p:625-632

DOI: 10.1016/j.physa.2006.10.034

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