Key feature | Relative value | Expected positive excess return | Acceptably small potential loss | Take profit | Stop loss |
Panel A: Conceptual definitions | |||||
Connor and Lasarte (2003) | No | - | Yes | Yes | Yes |
Stefanini (2006) | Yes | Yes | No | Yes | No |
Saks and Maringer (2008) | No | Yes | Yes | Yes | Yes |
Focardi et al. (2016) | - | Yes | - | Yes | No |
Panel A: Conceptual definitions | |||||
δ?Arbitrage (Ledoit, 1995) | No | Yes | No | Yes | No |
Good Deal (Cochrane and Saa-Requejo, 1998) | No | Yes | No | Yes | No |
Approximate Arbitrage (Bernardo and Ledoit, 2000) | No | Yes | Yes | Yes | - |
Acceptable Opportunity (Carr et al., 2001) | No | - | Yes | Yes | Yes |
ε-Arbitrage (Bertsimas et al., 2001) | Yes | - | No | Yes | No |
SA (Bondarenko, 2003) | No | - | No | Yes | No |
SA (Hogan et al., 2004) | No | - | Yes | Yes | Yes |