Analysis on mechanism of international portfolio arbitrage and its optimal strategy

被引：0
|
作者：
Chen W. [1 ]
Zhan X. [1 ]
机构：
[1] College of Economics and Management, Tongji University
来源：
Tongji Daxue Xuebao/Journal of Tongji University | 2010年 / 38卷 / 11期
关键词：
Common risk factor; International portfolio arbitrage; Mean-variance method; Relativity; Time series analysis;
D O I：
10.3969/j.issn.0253-374x.2010.11.028
中图分类号：
学科分类号：
摘要：
Based on the extended international arbitrage pricing theory (IAPT), an international multiple factors model is established. Through relative mathematical analysis, the behavior of international portfolio arbitrage is defined, and the trigger conditions and determinants are described by the numbers. The mechanism of the international portfolio arbitrage behavior is revealed as: through establishing portfolio to increase relativity of the assets, the assets used for arbitrage can be matched. Under the condition without any transaction cost, an optimal weight of portfolio arbitrage can be solved with the mean-variance method.
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页码：1714 / 1718
页数：4
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