无风险套利
- 网络Arbitrage;Riskless arbitrage
![无风险套利](../cache/49869.jpg)
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对此套利组合的分析结果表明:只要存在无风险套利机会,无论风险投资者的偏好如何,都能在不增加风险的基础上,获得较高的收益。
The result about the analysis of the portfolio shows that as long as arbitrage chance exists , each investor can get higher income , not increasing risk , no matter he is a risk averter or seeker .
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但这样的无风险套利机会是不存在的。
The potential for arbitrage means such profits cannot be earned .
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在价格有效的证券市场上,这种无风险套利的机会是不存在的。
The investors will have a riskless arbitrage opportunity , if the market price contradicts this relationship .
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在此基础上,运用无风险套利原则,推导出变动执行价格条件下的类似于美式期权的实物期权的定价公式。
At last the paper deduces the pricing formula of real option similarly American Option utilizing No-Risk Arbitrage Pricing Theory .
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如果一种投资对另外一种投资是一阶随机占优的,那么说明市场上存在进行无风险套利的可能,在价格有效的证券市场上,这种可能性是不存在的。
First-order stochastic dominance ( FSD ) implys a riskless arbitrage opportunity . The opportunity can 't exist in an efficient market .
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但是,对超额收益的时间稳定性检验表明,长期而言,市场中不存在一成不变的无风险套利模式。
But the result of time stability test of excess profits indicates there is no such an invariable pattern of risk-free arbitrage in long term .
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本文以二叉树无风险套利定价模型与决策树为基础,建立评价R&D项目的实物期权方法。
Using decision tree and binomial model that is based on risk-free arbitrage principle , we propose real option method valuing R & D project .
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首先根提出了与A股挂钩的简单虚拟产品的设计,并采用金融工程中的分拆复制和无风险套利方法对其定价。
We first put forward the design of a simple synthetic A-share linked product , and price the product with the non-arbitrage method of financial engineering .
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利用国债现券与国债回购之间的利差进行无风险套利,既规避了金融风险,又充分利用了资金的使用价值,其收益远高于同期银行存款利率。
Using this interest margin for risk-free arbitrage not only avoids financial risk but also takes full advantage of fund value , getting much higher profits than bank deposit rates .
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对于风险承受能力一般且追求稳定收益的拥有大规模资金的机构投资者,股指期货为其提供了无风险套利的机会。
For risk to bear ability general and pursuit of steady benefits with large capital of institutional investors , stock index futures offer for its performance of risk arbitrage opportunities .
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同时,由于无风险套利活动的存在将逐渐实现金融市场的无套利均衡,导致我国股票市场的规模效应减弱以致消失。
As the same time , it is considered that the non-risk arbitrage result in the non-arbitrage equilibrium in the stock market which make the size effect gradually abate and disappear .
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其次,笔者利用我国国债市场现有的交易机制设计了套利交易的两个模式,即现券无风险套利模式和跨市场回购套利模式。
Secondly , I use the existing trading mechanism in Chinese bond markets to make two bond arbitrage models , that is , Bond risk-free arbitrage model and cross-market arbitrage buy-back model .
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狭义的套利即为一般教材上的无风险套利,即持有相反头寸的资产组合,并在将来的某个时刻确定地获取非负收益的行为。
Arbitrage is defined as risk-free arbitrage in general textbooks . It shows a portfolio with the opposite positions of securities , which will surely bring non-negative return at sometime in the future .
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引入了风险套利机会和适度风险套利机会的定义;研究了它们与等价鞅测度存在的关系;在价格有效的证券市场上,这种无风险套利的机会是不存在的。
Two definitions - risky arbitrage opportunity and modest risky arbitrage opportunity are introduced in this paper . The investors will have a riskless arbitrage opportunity , if the market price contradicts this relationship .
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第二章介绍了统计套利的定义,统计套利与无风险套利的区别,统计套利实施中的策略以及国内外关于统计套利的研究现状。
The second chapter describes the definition of statistical arbitrage , the difference between risk-free arbitrage and statistical arbitrage , statistical arbitrage strategy , as well as domestic and international research status about statistical arbitrage .
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本章分析了沪深300指数期货的仿真交易中存在的无风险套利机会,同时结合国外成功的案例对不同品种的跨市套利进行了详细介绍,对开阔投资视野很有裨益。
This part analyzed the risk-less arbitrage opportunities in mock trading of CSI 300 stock index futures . In the same time , it also introduced inter-commodity spread strategy in different futures markets using a successful case .
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分析了导致审计主体产生风险偏好差异的因素,通过实证调研,得出由于会计师事务所存在着无风险套利机会,导致二者在评估风险时产生差异。
This paper analyzes the factors resulting in the differences of the risk preferences of auditing subjects , and concludes that their differences in risk evaluation are due to CAPF 'S free-risk arbitrage opportunities through empirical investigation .
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该方法以二项式无风险套利定价方法与决策树方法为基础,将R&D项目的决策框架与整个公司的战略结合起来,使得决策过程更符合决策者的思维习惯。
The method is based on the binomial tree no-risk arbitrage pricing method and decision tree method , cooperate the decision framework of R & D project with the strategy of the whole corporations , makes the decision process more proper the mental habit of decision-maker .
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但股指期货套利并不是无风险的,套利现货组合的跟踪误差、强制平仓、结算价差风险、相关市场流动性的制约等因素都会影响套利效果。
But the arbitrage of stock index futures is not without risk , the tracking error of arbitrage spot portfolio , the compulsory liquidation , the settlement price risk , liquidity constraints could effect the arbitrage return .