Detecting Type-B Arbitrage with (ADLP) - Practice For type-B arbitrage the following conditions need to be satisfied: Po(y) = Six; < 0, (i) i=0 Esi(w;)x; > 0, j = 1, 2, ..., m, (ii) i=0 > Si(w;)x; > 0 for at least one index j (iii) i=0 We can find such an investment x (if one exists) by solving m ОРТ :3 S{(w;)X; min i=0 subject to E Si(w;)x; > 0, j= 1,2, ..., m. (ADLP) i=0 E sixi <0 i=0 Define OPT = -o if the problem is unbounded

Computer Networking: A Top-Down Approach (7th Edition)
7th Edition
ISBN:9780133594140
Author:James Kurose, Keith Ross
Publisher:James Kurose, Keith Ross
Chapter1: Computer Networks And The Internet
Section: Chapter Questions
Problem R1RQ: What is the difference between a host and an end system? List several different types of end...
icon
Related questions
Question
Detecting Type-B Arbitrage with (ADLP) - Practice
For type-B arbitrage the following conditions neèd to be satisfied:
Po(y) =
E söx; s0,
(i)
i=0
ES{(w; )x; > 0,
j = 1, 2, ..., m,
(ii)
i=0
in
Es{(w;)x; > 0
for at least one index j
(ii)
i=0
We can find such an investment x (if one exists) by solving
ОРТ
min
-
j=1
i=0
subject to
S;(w;)x; > 0, j = 1, 2, . . . , m.
(ADLP)
i=0
in
Sóx; <0
i=0
Define OPT
= -o if the problem is unbounded
Transcribed Image Text:Detecting Type-B Arbitrage with (ADLP) - Practice For type-B arbitrage the following conditions neèd to be satisfied: Po(y) = E söx; s0, (i) i=0 ES{(w; )x; > 0, j = 1, 2, ..., m, (ii) i=0 in Es{(w;)x; > 0 for at least one index j (ii) i=0 We can find such an investment x (if one exists) by solving ОРТ min - j=1 i=0 subject to S;(w;)x; > 0, j = 1, 2, . . . , m. (ADLP) i=0 in Sóx; <0 i=0 Define OPT = -o if the problem is unbounded
Consider the linear program from lecture slides for detecting type-B arbitrage in practice. Leave
the constraints unchanged but replace the objective function with
- E a; E, S{ (w;)æ; for some vector a = (a1, ... , am).
For what a does this modified LP have
0o value if and only if type-B arbitrage exists ?
Ο Σ α
= some positive constant
aj 2 0 for all j
aj > 0 for all j
All of the above
O None of the above
Transcribed Image Text:Consider the linear program from lecture slides for detecting type-B arbitrage in practice. Leave the constraints unchanged but replace the objective function with - E a; E, S{ (w;)æ; for some vector a = (a1, ... , am). For what a does this modified LP have 0o value if and only if type-B arbitrage exists ? Ο Σ α = some positive constant aj 2 0 for all j aj > 0 for all j All of the above O None of the above
Expert Solution
trending now

Trending now

This is a popular solution!

steps

Step by step

Solved in 3 steps

Blurred answer
Similar questions
Recommended textbooks for you
Computer Networking: A Top-Down Approach (7th Edi…
Computer Networking: A Top-Down Approach (7th Edi…
Computer Engineering
ISBN:
9780133594140
Author:
James Kurose, Keith Ross
Publisher:
PEARSON
Computer Organization and Design MIPS Edition, Fi…
Computer Organization and Design MIPS Edition, Fi…
Computer Engineering
ISBN:
9780124077263
Author:
David A. Patterson, John L. Hennessy
Publisher:
Elsevier Science
Network+ Guide to Networks (MindTap Course List)
Network+ Guide to Networks (MindTap Course List)
Computer Engineering
ISBN:
9781337569330
Author:
Jill West, Tamara Dean, Jean Andrews
Publisher:
Cengage Learning
Concepts of Database Management
Concepts of Database Management
Computer Engineering
ISBN:
9781337093422
Author:
Joy L. Starks, Philip J. Pratt, Mary Z. Last
Publisher:
Cengage Learning
Prelude to Programming
Prelude to Programming
Computer Engineering
ISBN:
9780133750423
Author:
VENIT, Stewart
Publisher:
Pearson Education
Sc Business Data Communications and Networking, T…
Sc Business Data Communications and Networking, T…
Computer Engineering
ISBN:
9781119368830
Author:
FITZGERALD
Publisher:
WILEY