We construct a value weighted risk arbitrage portfolio and use it to evaluate the risk-adjusted performance of a risk arbitrage strategy
applied to collar offers.
To offset this risk of loss, the annuity arbitrage strategy
also involves the purchase of a guaranteed universal life insurance policy, designed to require level annual premiums until the death of the insured.
The planner makes the Jacklin arbitrage strategy
infeasible for the agent by controlling initial investment (s, x).
The proposed statistical arbitrage strategy
generates average excess return of 16.
An arbitrage strategy
attempts to lock in a risk-free profit by exploiting the mispricing.
Therefore, investors will use the short arbitrage strategy
if the following condition holds:
The volatility arbitrage strategy
is a bet that the embedded option in the convertible bond is mispriced.
Convertible arbitrage strategy
usually involves buying a portfolio of convertible securities and hedging equity risk by short-selling the underlying stock.
The current environment of falling interest rates could hardly be better for convertible arbitrage strategy
. Convertible arbs have been among the top-performing hedge funds, gaining over 25 percent in 2000 and more than 6 percent in 2001's first quarter, according to the CSFB/ Tremont Convertible Arbitrage index, Credit Suisse First Boston estimates that half of all convertible bond trades now come from hedge funds.
The implication is that equity in observed wages among blacks and whites was an important component of Ford's arbitrage strategy
We have followed more complex methodologies that are based on the main principles of asset valuation and provide arbitrage portfolios without previously specifying the exact nature of the arbitrage strategy
to be used.
Second, the portfolio used to facilitate arbitrage strategy
is usually constructed using a subset of the shares which comprise the share price index and is not in general perfectly correlated with the SPI futures contract.
Newell's leveraged arbitrage strategy
greatly expanded the Congregation's potential liability and risk beyond the amount of cash invested.
GMP will provide non-US investors direct access to Gabelli's specialized merger arbitrage strategy
, a recognized leader in the US