Losing Money on Arbitrage: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities
Preprint
- 1 January 2000
- preprint
- Published by Elsevier in SSRN Electronic Journal
- Vol. 17 (3)
- https://doi.org/10.2139/ssrn.246835
Abstract
In theory, an investor can make infinite profits by taking unlimited positions in an arbitrage. In reality, however, investors must satisfy margin requirementsKeywords
All Related Versions
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