Positive alphas, abnormal performance, and illusory arbitrage

DOI10.1111/J.1467-9965.2011.00489.XMaRDI QIDQ4906513zbMATH OpenOpenAlexFDO

Authors Robert A. Jarrow, Philip Protter

Publication date 28 February 2013

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.2011.00489.x

zbMATH Keywords

performance evaluationCAPMstate price densitysystematic riskAPTmartingale measuresasset pricing modelarbitrage opportunitiesCCAPMlocal martingale measuresICAPMJensen's alphabetasexcess expected return

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

• A general version of the fundamental theorem of asset pricing
• An Intertemporal Capital Asset Pricing Model
• An intertemporal asset pricing model with stochastic consumption and investment opportunities
• Analysis of continuous strict local martingales via \(h\)-transforms
• Asset price bubbles in incomplete markets
• Asset pricing for general processes
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Correlation and the pricing of risks
• Risk-neutral compatibility with option prices
• The fundamental theorem of asset pricing for unbounded stochastic processes

Cited in

(10)

• Positive alphas and a generalized multiple-factor asset pricing model
• Strict local martingales with jumps
• A novel methodology for perception-based portfolio management
• When do systematic strategies decay?
• Weak and strong no-arbitrage conditions for continuous financial markets
• How many good and bad funds are there, really?
• Filtration shrinkage, strict local martingales and the Föllmer measure
• Optional projection under equivalent local martingale measures
• An empirical investigation of large trader market manipulation in derivatives markets
• Martingale defects in the volatility surface and bubble conditions in the underlying

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