Losing Money on Arbitrage: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities
推导了风险厌恶投资者在存在教科书式套利机会但需抵押品担保的市场中的最优投资策略，发现通常最优策略是低于抵押约束的套利投资，且套利组合在最终收敛前常经历亏损。
We derive the optimal investment policy of a risk-averse investor in a market where there is a textbook arbitrage opportunity, but where liabilities must be secured by collateral. We find that it is often optimal to underinvest in the arbitrage by taking a smaller position than collateral constraints allow. Even when the optimal policy is followed, the arbitrage portfolio typically experiences losses before the final convergence date. In fact, its initial performance may be indistinguishable from that of a conventional portfolio with a poor track record. These results have important implications for the role of arbitrageurs in financial markets. Copyright 2004, Oxford University Press.