arbitrage

Robust Profit Opportunities in Risky Financial Portfolios

  • Mustafa C. Pinar
  • Reha H. Tütüncü
    • Categories Finance and Economics, Robust Optimization Tags , ,

    For risky financial securities with given expected return vector and covariance matrix, we propose the concept of a robust profit opportunity in single and multiple period settings. We show that the problem of finding the “most robust” profit opportunity can be solved as a convex quadratic programming problem, and investigate its relation to the Sharpe … Read more

    Minimum Risk Arbitrage with Risky Financial Contracts

  • Mustafa C. Pinar
    • Categories Finance and Economics, Robust Optimization, Second-Order Cone Programming Tags , , , ,

    For a set of financial securities specified by their expected returns and variance/covariances we propose the concept of minimum risk arbitrage, characterize conditions under which such opportunities may exist. We use conic duality and convex analysis to derive these characterizations. For practical computation a decidability result on the existence of an arbitrage opportunity is derived. … Read more