...套利机会(套利机会是均衡的必 要条件) 为解释这个关系, 定义一种特殊的资产组 合: : 资产组合P称为套利组合(Arbitrage Portfolio),如果它是无成本和无风险的.
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arbitrage portfolio frontier 套利组合有效前沿
return of arbitrage portfolio 套利组合收益率
portfolio and arbitrage 组合与套利
In this paper, the arbitrage portfolio model is directly obtained based on the description of arbitrage Pricing Theory when there are arbitrage opportunities.
本文根据套利定价理论的基本描述，直接得到存在套利机会的情况下求解套利组合的模型。
The result about the analysis of the portfolio shows that as long as arbitrage chance exists, each investor can get higher income, not increasing risk, no matter he is a risk averter or seeker.
对此套利组合的分析结果表明：只要存在无风险套利机会，无论风险投资者的偏好如何，都能在不增加风险的基础上，获得较高的收益。
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