Arbitrage portfolio exist, Managerial Economics

Consider an economy with three assets and three states. Let be the matrix of asset payoffs at t=1 and p the vector of asset prices at t=0.

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Assume p3 =2. 
a) Does an arbitrage portfolio exist?

b) Can you create a portfolio with t=1 payoff of (0,1,2) and what is the price of such a portfolio?

 

Posted Date: 3/25/2013 2:44:27 AM | Location : United States







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