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P. Schneider

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Aug 2026

International Arbitrage Premia

We introduce the nonlinear arbitrage correction (NAC), the residual that renders a linear benchmark model arbitrage-free while preserving the law of one price. The price of NAC captures the marginal Sharpe ratio increase consistent with no-arbitrage and upper-bounds the constrained Hansen–Jagannathan distance. Using...

Mirela Sandulescu, P. Schneider · 0 citations

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