Arbitrage With Holding Costs: A Utility‐Based Approach
分析风险厌恶的套利者在面临持有成本时的投资策略，模型允许价格偏离基本面但不产生无风险套利机会，并以国债市场为例说明持有成本是重要摩擦因素。
ABSTRACT Unit time costs, or holding costs, are incurred in many arbitrage contexts. Examples include losing the use of short sale proceeds and lending funds at below market rates in reverse repurchase agreements. This paper analyzes the investment problem of a risk averse arbitrageur who faces holding costs. The model allows prices to deviate from “fundamental” values without allowing for riskless arbitrage opportunities. After characterizing an arbitrageur's optimal strategy, the model is examined in the context of the Treasury market. The analysis reveals that holding costs are an important friction in this market and that they can significantly affect arbitrageur behavior.