Arbitrage Portfolios
Rodolfo Apreda
University of CEMA
July 2002
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.
Number of Pages in PDF File: 21
Keywords: Arbitrage portfolios, separation portfolios, security market line, capital market line
JEL Classification: G12, G11
working papers series
Suggested Citation
Apreda, Rodolfo, Arbitrage Portfolios (July 2002). Available at SSRN: http://ssrn.com/abstract=322320 or http://dx.doi.org/10.2139/ssrn.322320
