標題: | 產權市場短期套利的探討 Some remarks on short-term relative arbitrage in equity markets |
作者: | 吳國禎 Wu, Guo-Jhen 許元春 Sheu, Yuan-Chung 應用數學系數學建模與科學計算碩士班 |
關鍵字: | 產權市場;套利;短期;投資組合;equity market;arbitrage;short-term;portfolio |
公開日期: | 2010 |
摘要: | 我們給予了一個在任意短期時間內,以及任意產權市場會存在套利的充分條件。相較於Banner 和Fernholz在2008年所提出的充分條件,我們給的條件更具一般性,然而,另一方面,我們給的條件也比較難去驗證。儘管如此,我們給出了一類的財務模型,它們可能不會滿足Banner 和Fernholz 所給出的充分條件,可是卻滿足我們這篇論文所給出的條件。 We provide a sufficient condition for the existence of relative arbitrage over arbitrarily short time horizon in equity markets. Compared with the sufficient condition given in Banner & Fernholz(2008), our condition is much general, but, on the other hand, it is more difficult to check. However, we give a family of abstract models which do not satisfy the criteria in Banner & Fernholz (2008) but satisfy the criteria here. |
URI: | http://140.113.39.130/cdrfb3/record/nctu/#GT079820501 http://hdl.handle.net/11536/47426 |
顯示於類別: | 畢業論文 |