Stochastic Arbitrage Opportunities: Set Estimation and Statistical Testing
We provide a formal statistical theory of consistent estimation of the set of all arbitrage portfolios that meet the description of being a stochastic arbitrage opportunity. Two empirical likelihood ratio tests are developed: one for the null that a given arbitrage portfolio is qualified, and anothe...
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| 主要な著者: | , |
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| フォーマット: | Artigo |
| 言語: | Inglês |
| 出版事項: |
MDPI AG
2024-02-01
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| シリーズ: | Mathematics |
| 主題: | |
| オンライン･アクセス: | https://www.mdpi.com/2227-7390/12/4/608 |
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