Add to ORKGThere is an extensive literature claiming that it is often difficult to make use of arbitrage opportunities in financial markets. This paper provides a new reason why existing arbitrage opportunities might not be seized. We consider a world with short-lived securities, no short-selling constraints and no transaction costs. We show that to exploit all existing arbitrage opportunities, traders should pay attention to all financial markets simultaneously. It gives a general result stating that failure to do so will leave some arbitrage opportunities unexploited with probability one
We survey theoretical developments in the literature on the limits of arbitrage. This literature inv...
We survey theoretical developments in the literature on the limits of arbitrage. This literature inv...
In theory, an investor can make infinite profits by taking unlimited positions in an arbitrage. In r...
There is an extensive literature claiming that it is often difficult to make use of arbitrage opport...
There is an extensive literature claiming that it is often difficult to make use of arbitrage opport...
There is an extensive literature claiming that it is often difficult to make use of arbitrage opport...
Abstract There is an extensive literature claiming that it is often difficult to make use of arbitra...
There is an extensive literature claiming that it is often difficult to make use of arbitrage opport...
There is an extensive literature claiming that it is often difficult to make use of arbitrage opport...
There is an extensive literature claiming that it is often difficult to make use of arbitrage opport...
There is an extensive literature claiming that it is often difficult to make use of arbitrage opport...
There is an extensive literature claiming that it is often difficult to make use of arbitrage opport...
Abstract This paper develops a model in which arbitrageurs are collectively unconstrained, but may s...
This paper develops a model in which arbitrageurs are collectively unconstrained, but may still pref...
We show that coherent risk measures alone are ineffective in curbing the behaviour of investors with...
We survey theoretical developments in the literature on the limits of arbitrage. This literature inv...
We survey theoretical developments in the literature on the limits of arbitrage. This literature inv...
In theory, an investor can make infinite profits by taking unlimited positions in an arbitrage. In r...
There is an extensive literature claiming that it is often difficult to make use of arbitrage opport...
There is an extensive literature claiming that it is often difficult to make use of arbitrage opport...
There is an extensive literature claiming that it is often difficult to make use of arbitrage opport...
Abstract There is an extensive literature claiming that it is often difficult to make use of arbitra...
There is an extensive literature claiming that it is often difficult to make use of arbitrage opport...
There is an extensive literature claiming that it is often difficult to make use of arbitrage opport...
There is an extensive literature claiming that it is often difficult to make use of arbitrage opport...
There is an extensive literature claiming that it is often difficult to make use of arbitrage opport...
There is an extensive literature claiming that it is often difficult to make use of arbitrage opport...
Abstract This paper develops a model in which arbitrageurs are collectively unconstrained, but may s...
This paper develops a model in which arbitrageurs are collectively unconstrained, but may still pref...
We show that coherent risk measures alone are ineffective in curbing the behaviour of investors with...
We survey theoretical developments in the literature on the limits of arbitrage. This literature inv...
We survey theoretical developments in the literature on the limits of arbitrage. This literature inv...
In theory, an investor can make infinite profits by taking unlimited positions in an arbitrage. In r...