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06.07.2010 · How to Cite. Dai, M., Zhong, Y. and Kwok, Y. K. (2011), Optimal arbitrage strategies on stock index futures under position limits. J. Fut. Mark., 31: 394

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Mathematical Finance, Vol. 23, No. 2 (April 2013), 297–317 HEDGING UNDER ARBITRAGE JOHANNES RUF Columbia University It is shown that delta hedging provides the

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OPTIMAL TRANSACTION FILTERS UNDER TRANSITORY TRADING OPPORTUNITIES: Theory and Empirical Illustration∗ Ronald Balvers and Yangru Wu April 30, 2008

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26.11.2017 · This thesis analyzes models of financial markets that incorporate the possibility of arbitrage opportunities. The first part demonstrates how explicit

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We offer some preliminary remarks about statistical arbitrage strategies and we set Scanner Internet Archive Optimal multifactor trading under

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Electronic copy available at: http://ssrn.com/abstract=1534527 OPTIMAL ARBITRAGE STRATEGIES ON STOCK INDEX FUTURES UNDER POSITION LIMITS • Min Dai1

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03.01.2013 · Full-text (PDF) | Explicit formulas for optimal trading strategies in terms of minimal required initial capital are derived to replicate a given terminal

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28.11.2017 · Dissertations & Theses - Gradworks Optimal trading strategies under arbitrage by Ruf, Johannes Karl Dominik, Ph.D., COLUMBIA UNIVERSITY, 2011,

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We examine the problem of choosing an optimal strategy under two Statistical arbitrage trading has Optimal trading strategies can be found by

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This type of arbitrage trading involves the buying and selling of different currency pairs to exploit any inefficiency of As with other arbitrage strategies,

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06.07.2010 · Research on Trading; Research Article. Optimal arbitrage strategies on stock index futures under position limits

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02.02.2011 · Optimal arbitrage strategies on stock index futures under position limits. we examine the optimal arbitrage strategies in stock index futures with

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15.09.2017 · @MISC{Dai_optimalarbitrage, author = Min Dai and Yifei Zhong and Yue Kuen Kwok, title = {OPTIMAL ARBITRAGE STRATEGIES ON STOCK INDEX FUTURES UNDER

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On optimal arbitrage. Daniel Fernholz and Ioannis Karatzas Optimal trading strategies under arbitrage. Preprint, Columbia Univ. Sin, C. A. (1998).

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