IEEE - Institute of Electrical and Electronics Engineers, Inc. - A mean-VaR analysis of arbitrage arbitrage portfolios

2009 IEEE International Conference on Intelligent Computing and Intelligent Systems (ICIS 2009)

Author(s): Shuhong Fang
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Publication Date: 1 November 2009
Conference Location: Shanghai, China, China
Conference Date: 20 November 2009
Volume: 1
Page(s): 704 - 708
ISBN (CD): 978-1-4244-4738-1
ISBN (Paper): 978-1-4244-4754-1
DOI: 10.1109/ICICISYS.2009.5357767
Regular:

Based on the definition of arbitrage portfolio and its return introduced in Fang (2006), the mean-VaR analysis for arbitrage portfolios is presented. The calculation of the mean-VaR arbitrage... View More

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