The development of modern portfolio theory: pricing deformation and arbitration
This work discusses the capabilities of behavioral synthesis to deepen our knowledge of arbitration operations. That is going to contribute to the modern theory of portfolio analysis, including the Efficient Market hypothesis; the hypothesis of Adaptive Market; the Pricing model of capital assets; Arbitrage pricing model; and others. The main contribution of this paper is to deepen the concept of pricing deformation. It is considered that the basis of de- formations are behavioral abnormalities. In order to consider the behavioral abnormalities the indicator is added to the classical model for assessing of the demand, we call it meta- metrics. Metametrics shows the ratio of relative value of gain and loss of one unit of possible income in the future at the uncertainty conditions. Also this paper introduces the concept of autonomous predeformation arbitration which differs from the standard concept. The difference is that these operations are not to over- come pricing deformations, but to identify and to counteract development of prerequisites of deformations emergence