yifan Hu2019-07-17 16:32:21

老师好，在chapter 35 里原版书第77页码上，写 the first type of arbitrage opportunity is often called value additivity, or put simply, the value of the whole EQUALS the sum of the values of the parts. 但后来的例子里，asset A is selling for 0.952381 each, portfolio B has 105 units of asset A and is selling them for $95. 如果我单买105个asset A 的话，要付出105*0.952381= 100. 于是就有了个arbitrage profit of $5. 问题是the value of the whole （$95）不等于the sum of the values of the parts ($100)。 之前的概念概述里说要EQUALS 才是arbitrage opportunity. 倒低是the value of the whole 要等于还是不等于the sum of the values of the parts才有arbitrage opportunity? 逻辑上貌似是要不等于才会又套利机会，但是和书中概念的描述相反。是否哪里理解错了？ 谢谢。