# All Questions

23 views

### How to optimize an arbitrage portfolio when taking into account different speeds of mean reversion?

In portfolio optimization, it is insufficient to just note the size of price deviation - that only tells the amount of profit if held to maturity. One also needs to take into account reversion speed - ...
33 views

### Is this an arbitrage opportunity? [closed]

The 6 months risk free rate is $0.0809\%$ the 12 month rate is $0.1415%$ today. The forward rate for 6 months in 6 months is $0.0913\%$ Is there an arbitrage opportunity?