Andras Sali

Alphacruncher

Switzerland

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Arbitrage Free Dispersion

Swiss Finance Institute Research Paper No. 19-20
Number of pages: 78 Posted: 14 Jan 2019 Last Revised: 11 Apr 2019
Piotr Orłowski, Andras Sali and Fabio Trojani
HEC Montréal, Alphacruncher and Swiss Finance Institute
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Abstract:

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Arbitrage-Free Dispersion, Cumulant Generating Function, Convexity, Convex Inequalities, Jensen’s Gap, Pricing Kernel Bounds, Entropy, Long-Run Risk Models, Tests of Asset Pricing Models