Existence of Statistical Arbitrage Portfolios in the Black-Scholes Framework

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：zhangfuliangez

【摘要】

：

　　In this study we consider diﬀerent statistical arbitrage strategies and prove the existence of statistical arbitrage portfolios in the Black-Scholes framewor

【作者】

：

AkyildirimErdinc;

【机构】

：

akdeniz Univ.

【出处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

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　　In this study we consider diﬀerent statistical arbitrage strategies and prove the existence of statistical arbitrage portfolios in the Black-Scholes framework.We show that if there exists at least one stock in an economy with a Sharpe ratio larger than half of the volatility of the stock,a statistical arbitrage trading strategy can be designed.We derive analytical formulas for the expected value and probability of loss of our statistical arbitrage portfolios.

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Existence of Statistical Arbitrage Portfolios in the Black-Scholes Framework

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