Beta-arbitrage strategies: when do they work, and why?

DOI10.1080/14697688.2014.938446zbMath1395.91515OpenAlexW3123924726MaRDI QIDQ4683005

R. J. Messikh, Gianluca Oderda, Tony Berrada, Olivier V. Pictet

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://archive-ouverte.unige.ch/unige:81265

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items (1)

Theoretical decompositions of the cross-sectional dispersion of stock returns

Cites Work

• Unnamed Item
• Relative arbitrage in volatility-stabilized markets
• On the diversity of equity markets
• Deterministic criteria for the absence of arbitrage in~one-dimensional diffusion models

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