Title :
A mean-VaR analysis of arbitrage arbitrage portfolios
Author_Institution :
Sch. of Manage., Fudan Univ., Shanghai, China
Abstract :
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 frontier is discussed which is related to the mean-variance arbitrage frontier. Moreover a practical example is presented.
Keywords :
finance; risk management; arbitrage portfolio; mean-VaR analysis; mean-variance arbitrage frontier; value-at-risk; Banking; Finance; Financial management; Information security; Investments; National security; Portfolios; Reactive power; Risk management; Arbitrage portfolio; Mean-VaR frontier of arbitrage portfolios; Value-at-Risk (VaR);
Conference_Titel :
Intelligent Computing and Intelligent Systems, 2009. ICIS 2009. IEEE International Conference on
Conference_Location :
Shanghai
Print_ISBN :
978-1-4244-4754-1
Electronic_ISBN :
978-1-4244-4738-1
DOI :
10.1109/ICICISYS.2009.5357767
