Virtual Arbitrage Pricing Theory

Thumbnail Image

Date

Authors

Journal Title

Journal ISSN

Volume Title

Publisher

Abstract

Description

We generalize the Arbitrage Pricing Theory (APT) to include the contribution of virtual arbitrage opportunities. We model the arbitrage return by a stochastic process. The latter is incorporated in the APT framework to calculate the correction to the APT due to the virtual arbitrage opportunities. The resulting relations reduce to the APT for an infinitely fast market reaction or in the case where the virtual arbitrage is absent. Corrections to the Capital Asset Pricing Model (CAPM) are also derived.
Latex, 12 pages

Keywords

Statistical Mechanics, Pricing of Securities

Citation

URI

http://salesiana.dossiersoluciones.com/handle/123456789/210120

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/cond-mat/9902045
 http://arxiv.org/abs/cond-mat/9902045

Collections

arXiv