Simple and enlarged separation portfolios : on their use when arbitraging and synthesizing securities / Rodolfo Apreda
Tipo de material:
TextoSeries Serie documentos de trabajo ; no. 233Detalles de publicación: Universidad del CEMA Buenos Aires 2003Descripción: 21 pTema(s):
Contenidos:
Introduction -- 1. Risk-return profiles within a vectorial framework -- 2. Synthetic securities within risk-return profiles -- 3. Separation portfolios as synthetics -- 4. Enlarged separation portfolios as synthetics -- 5. Arbitrage with simple separation portfolios -- 6. Arbitrage with enlarged separation portfolios -- 7. The case for bond portfolios -- Conclusions.
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Informe técnico
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Biblioteca Manuel Belgrano | Enlace al recurso | Disponible |
Introduction -- 1. Risk-return profiles within a vectorial framework -- 2. Synthetic securities within risk-return profiles -- 3. Separation portfolios as synthetics -- 4. Enlarged separation portfolios as synthetics -- 5. Arbitrage with simple separation portfolios -- 6. Arbitrage with enlarged separation portfolios -- 7. The case for bond portfolios -- Conclusions.
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