University of CEMA
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.
Number of Pages in PDF File: 21
Keywords: Arbitrage portfolios, separation portfolios, security market line, capital market line
JEL Classification: G12, G11working papers series
Date posted: August 26, 2002
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