Hysteresis bands on returns, holding period and transaction costs F. Delgadoy- B. Dumasz- G.W. Puopolox Abstract In the presence of transactions costs, no matter how small, arbitrage activity does not necessarily render

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Date: 2014-10-27 09:41:43 Mathematical finance Financial economics Financial markets Portfolio optimization Arbitrage Capital asset pricing model Futures contract Forward contract Rebalancing investments Financial risk Valuation Arbitrage pricing theory		Hysteresis bands on returns, holding period and transaction costs F. Delgadoy- B. Dumasz- G.W. Puopolox Abstract In the presence of transactions costs, no matter how small, arbitrage activity does not necessarily render Add to Reading List Source URL: faculty.insead.edu Download Document from Source Website File Size: 321,70 KB Share Document on Facebook

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