Virtual Arbitrage Pricing Theory

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dc.creatorIlinski, Kirill
dc.date1999-02-03
dc.date.accessioned2026-07-07T12:11:06Z
dc.date.available2026-07-07T12:11:06Z
dc.descriptionWe 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.
dc.descriptionLatex, 12 pages
dc.identifierhttps://arxiv.org/abs/cond-mat/9902045
dc.identifierhttp://arxiv.org/abs/cond-mat/9902045
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210120
dc.subjectStatistical Mechanics
dc.subjectPricing of Securities
dc.titleVirtual Arbitrage Pricing Theory
dc.typetext

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