Immunised quasi-arbitrage

Abstract

Arbitrage refers to the possibility of making money with no outlay of capital or possibility of loss. In this paper the concept of quasi-arbitrage is introduced: "A small risk, small net investment strategy that still generates significant profits". From existence of quasi-arbitrage the important consequences result, among them the "one price principle" failure necessary follows. The method of integral immunization what differs from well known Redington immunization is offered, and the numerical illustration of immunized quasi-arbitrage in the stylized financing an investing situation associated with case investigated by Lutz Krushwitz is presented. The concept of integral immunization of quasiarbitrage appear to be innovative, not discussed in literature available to the author of the present paper. The theoretical questions examined in this paper require further investigation.