| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7204 |
| DP7204 The Housing Crisis and Bankruptcy Reform: The Prepackaged Chapter 13 Approach | |
| Luigi Zingales; Eric A Posner | |
| 发表日期 | 2009-03-08 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | We define risky arbitrages as self-financing trading strategies that have a strictly positive market price but a zero expected cumulative payoff. A continuous time cointegrated system is used to model risky arbitrages as arising from a mean-reverting mispricing component. We derive the optimal trading strategy in closed-form and show that the standard textbook arbitrage strategy is not optimal. In a calibration exercise, we show that the optimal strategy makes a sizeable difference in economic terms. |
| 主题 | Financial Economics |
| 关键词 | Cointegrated asset prices Optimal portfolio choice Risky arbitrage |
| URL | https://cepr.org/publications/dp7204 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536039 |
| 推荐引用方式 GB/T 7714 | Luigi Zingales,Eric A Posner. DP7204 The Housing Crisis and Bankruptcy Reform: The Prepackaged Chapter 13 Approach. 2009. |
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