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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Bibliografski detalji

Glavni autori:	Stelios Arvanitis, Thierry Post
Format:	Artigo
Jezik:	Inglês
Izdano:	MDPI AG 2024-02-01
Serija:	Mathematics
Teme:	portfolio analysis arbitrage portfolios asset pricing asymptotic statistics empirical likelihood
Online pristup:	https://www.mdpi.com/2227-7390/12/4/608
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