Question
Which of the following necessarily imply a violation of the no-arbitrage principle? Assume T > 0 and epsilon > 0. (a) A portfolio which has
Which of the following necessarily imply a violation of the no-arbitrage principle? Assume T > 0 and epsilon > 0.
(a) A portfolio which has zero value today, always non-negative value at T, and positive value at T for some sample outcomes with P({}) > 0.
(b) A portfolio which has zero value today and expected positive value at T.
(c) A portfolio which has value epsilon today and zero value at T.
(d) A portfolio which has value epsilon today and expected positive value at T.
(e) A portfolio which has zero value today and value epsilon 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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The Exchange Traded Funds Manual
Authors: Gary L. Gastineau
2nd Edition
0470482338, 978-0470482339
