Reference no: EM131243586
Arbitrage portfolios
Which of the following necessarily imply a violation of the no-arbitrage assumption? Assume T > 0 and ? > 0, and that all portfolios are self-financing.
(a) A portfolio which has value ? today, and value 2? at time T.
(b) A portfolio which has zero value today, and expected positive value at T.
(c) A portfolio which has value - ? today, and zero value at T.
(d) A portfolio which has value -? today, and expected positive value at T.
(e) A portfolio which has zero value today, and value ? at T.
(f) A portfolio which has zero value today, and positive value at T for some sample outcomes with positive probability.
(g) A portfolio which has zero value today, always non-negative value at T, and positive value at T for some sample outcomes.
(h) A portfolio which has zero value today, always non-negative value at T, and expected positive value at T.
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Bootstrapping and irr discounting
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Which imply a violation of the no arbitrage assumption
: Which of the following necessarily imply a violation of the no-arbitrage assumption? Assume T > 0 and ? > 0, and that all portfolios are self-financing.
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