期刊
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
卷 236, 期 2, 页码 657-663出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.ejor.2014.01.027
关键词
Finance; Scenarios; No-arbitrage bounds; Financial optimization
资金
- Free University of Bozen (Bolzano), Italy
- Forschungsforderungsfonds (FFF) of the University of Liechtenstein
We derive no-arbitrage bounds for expected excess returns to generate scenarios used in financial applications. The bounds allow to distinguish three regions: one where arbitrage opportunities will never exist, a second where arbitrage may be present, and a third, where arbitrage opportunities will always exist. No-arbitrage bounds are derived in closed form for a given covariance matrix using the least possible number of scenarios. Empirical examples illustrate the practical potential of knowing these bounds. (c) 2014 Elsevier B.V. All rights reserved.
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