Beta-arbitrage strategies: when do they work, and why?
ContributorsOderda, Gianluca; Berrada, Tony Nicolas; Messikh, Reda Jurg; Pictet, Olivier
Published inQuantitative finance, vol. 15, no. 2, p. 185-203
Publication date2015
Abstract
Keywords
- Relative arbitrage
- Market diversity
- Beta
Affiliation
Research group
Citation (ISO format)
ODERDA, Gianluca et al. Beta-arbitrage strategies: when do they work, and why? In: Quantitative finance, 2015, vol. 15, n° 2, p. 185–203. doi: 10.1080/14697688.2014.938446
Main files (2)
Article (Accepted version)
Article (Submitted version)
Identifiers
- PID : unige:81265
- DOI : 10.1080/14697688.2014.938446
ISSN of the journal1469-7688