A Mean-variance analysis of arbitrage portfolios

Physica A: Statistical Mechanics and its Applications

Volumn 375, Issue 2, 2007, Pages 625-632

  Fang, Shuhong ^a  

^a FUDAN UNIVERSITY   (China)

Author keywords

Arbitrage portfolio; Mean variance analysis; Return of arbitrage portfolio

Indexed keywords

NUMERICAL METHODS;

ARBITRAGE PORTFOLIO; MEAN-VARIANCE ANALYSIS;

STATISTICAL MECHANICS;

EID: 33845384633     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2006.10.034     Document Type: Article

References (12)

1. Fung W., and Hsieh D.A. A primer on hedge funds. J. Empirical Finance 6 (1999) 309-331
2. Jacobs B.I., and Levy K.N. Long/short equity investing profit from both winners and losers. J. Portfolio Manage. 20 (1993) 52-63
3. Michaud R.O. Are long-short equity strategies superior?. Financ. Anal. J. 49 (1993) 44-49
4. Markowitz H. Portfolio selection. J. Finance 7 (1952) 77-91
5. Merton R.C. An analytic derivation of the efficient portfolio frontier. J. Financ Quant. Anal. 7 (1972) 1851-1872
6. Sharpe W.F. Capital asset prices: a theory of market equilibrium under conditions of risk. J. Finance 19 (1964) 425-442
7. C. Huang, R. Litzenberger, Foundations for Financial Economics, Prental, 1988.
8. Ingersoll J.E. Theory of financial decision making (1987), Rowman and Littlefield, New York
9. Korkie B., and Turtle H.J. A mean-variance analysis of self-financing portfolios. Manage. Sci. 48 (2002) 27-443
10. Fang S. Some notes on arbitrage portfolio and its return. J. Fudan Univ. (Nat. Sci.) 45 (2006) 561-566 (in Chinese)
11. Rockafellar R.T. Convex Analysis (1960), Princeton University Press, Princeton, New York
12. Farrell Jr. J.L., and Reinhart W.J. Portfolio Management: Theory and Application. second ed (1997), McGraw-Hill Companies Inc., New York