Excess profit relative to the benchmark asset under the $ \alpha $-confidence level

IF 1.8 3区 数学 Q1 MATHEMATICS AIMS Mathematics Pub Date : 2023-01-01 DOI:10.3934/math.20231553
Dong Ma, Peibiao Zhao, Minghan Lyu, Jun Zhao
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Abstract

We introduce a generalized concept of arbitrage, excess profit relative to the benchmark asset under $ \alpha $-confidence level, $ \alpha $-REP, in a single-period market model with proportional transaction costs. We obtain a fundamental theorem of asset pricing with respect to the absence of $ \alpha $-REP. Moreover, we discuss the relationships between classical arbitrage, strong statistical arbitrage and $ \alpha $-REP.

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在$ \alpha $-置信水平下相对于基准资产的超额利润
在交易成本成比例的单周期市场模型中,我们引入了套利的广义概念,即在$ \alpha $-置信水平$ \alpha $-REP下相对于基准资产的超额利润。我们得到了不存在$ \alpha $-REP时资产定价的一个基本定理。此外,我们还讨论了经典套利、强统计套利与$ \alpha $-REP.</p></abstract>
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来源期刊
AIMS Mathematics
AIMS Mathematics Mathematics-General Mathematics
CiteScore
3.40
自引率
13.60%
发文量
769
审稿时长
90 days
期刊介绍: AIMS Mathematics is an international Open Access journal devoted to publishing peer-reviewed, high quality, original papers in all fields of mathematics. We publish the following article types: original research articles, reviews, editorials, letters, and conference reports.
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