Losing money on arbitrage: Optimal dynamic portfolio choice in markets with arbitrage opportunities

Review of Financial Studies

Volumn 17, Issue 3, 2004, Pages 611-641

  Liu, Jun ^a   Longstaff, Francis A ^a,b,c  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

^c UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 4344650887     PISSN: 08939454     EISSN: None     Source Type: Journal    
DOI: 10.1093/rfs/hhg029     Document Type: Article

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