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arbitrage portfolio

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  • Arbitrage pricing theory — (APT), in finance, is a general theory of asset pricing, that has become influential in the pricing of shares. APT holds that the expected return of a financial asset can be modeled as a linear function of various macro economic factors or… …   Wikipedia

  • Portfolio Selection — ist der Titel einer Veröffentlichung des US amerikanischen Ökonomen Harry M. Markowitz aus dem Jahr 1952 und bezeichnet seither ebenso auch die darin von ihm erstmals entwickelte Theorie zur Portfolio Auswahl. Seine Arbeit war zum Zeitpunkt Ihres …   Deutsch Wikipedia

  • Arbitrage — For the upcoming film, see Arbitrage (film). Not to be confused with Arbitration. In economics and finance, arbitrage (IPA: /ˈɑrbɨtrɑːʒ/) is the practice of taking advantage of a price difference between two or more markets: striking a… …   Wikipedia

  • Portfolio (finance) — In finance, a portfolio is an appropriate mix of or collection of investments held by an institution or a private individual. Holding a portfolio is part of an investment and risk limiting strategy called diversification. By owning several assets …   Wikipedia

  • Arbitrage Pricing Theory - APT — An asset pricing model based on the idea that an asset s returns can be predicted using the relationship between that same asset and many common risk factors. Created in 1976 by Stephen Ross, this theory predicts a relationship between the… …   Investment dictionary

  • arbitrage pricing model — noun An asset pricing model using one or more common factors to price returns. With only one factor, representing the market portfolio, it is called a single factor model. With two or more factors, it is called a multifactor model. See Also:… …   Wiktionary

  • Modern portfolio theory — Portfolio analysis redirects here. For theorems about the mean variance efficient frontier, see Mutual fund separation theorem. For non mean variance portfolio analysis, see Marginal conditional stochastic dominance. Modern portfolio theory (MPT) …   Wikipedia

  • Statistical arbitrage — In the world of finance and investments statistical arbitrage is used in two related but distinct ways:* In academic literature, statistical arbitrage is opposed to (deterministic) arbitrage. In deterministic arbitrage a sure profit can be… …   Wikipedia

  • Volatility arbitrage — (or vol arb) is a type of statistical arbitrage that is implemented by trading a delta neutral portfolio of an option and its underlier. The objective is to take advantage of differences between the implied volatility of the option, and a… …   Wikipedia

  • No-Arbitrage — Unter der Arbitragefreiheit wird das Fehlen jeder Möglichkeit zur (ökonomischen) Arbitrage verstanden. Dieser Begriff wurde insbesondere für die Finanzmärkte geprägt. Durch den internationalen, elektronischen Handel an diesen Märkten und die… …   Deutsch Wikipedia

  • No-Arbitrage-Modell — Unter der Arbitragefreiheit wird das Fehlen jeder Möglichkeit zur (ökonomischen) Arbitrage verstanden. Dieser Begriff wurde insbesondere für die Finanzmärkte geprägt. Durch den internationalen, elektronischen Handel an diesen Märkten und die… …   Deutsch Wikipedia

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