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Rolfes, B. Arbitragefreier Gewinntransfer an den Finanzmärkten. . Eine kritische Analyse. Credit and Capital Markets – Kredit und Kapital, 28(3), 376-402.
Rolfes, Bernd "Arbitragefreier Gewinntransfer an den Finanzmärkten. Eine kritische Analyse. " Credit and Capital Markets – Kredit und Kapital 28.3, 1995, 376-402.
Rolfes, Bernd (1995): Arbitragefreier Gewinntransfer an den Finanzmärkten, in: Credit and Capital Markets – Kredit und Kapital, vol. 28, iss. 3, 376-402, [online]


Arbitragefreier Gewinntransfer an den Finanzmärkten

Eine kritische Analyse

Rolfes, Bernd

Credit and Capital Markets – Kredit und Kapital, Vol. 28 (1995), Iss. 3 : pp. 376–402

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Bernd Rolfes, Duisburg


  1. Hax, H.: Investitionstheorie, 5. Aufl., Würzburg/Wien 1985, S. 34.  Google Scholar
  2. Marusev, A. W.: Das Barwertkonzept im Treasury der Bank, in: Bilanzstruktur- und Treasury-Management in Kreditinstituten, Band 2 der Schriftenreihe des Zentrums für Ertragsorientiertes Bankmanagement ZEB, Rolfes, B. und Schierenbeck, H. (Hrsg.), Frankfurt 1994, S. 81ff.  Google Scholar
  3. Marusev, A. W./Pfingsten, A.: Arbitragefreie Herleitung zukünftiger Zinsstruktur-Kurven und Kurswerte, in: Die Bank 3/92, S. 171.  Google Scholar


Arbitrage-Free Profit Transfers in Financial Markets. A Critical Analysis

A model-like derivation of deterministic interest rate structure curves shows that the interest rate structure existing at a given moment includes an average expectation about future interest rate trends. This representative assessment of the entire money and capital markets and the expert knowledge at the base of such assessments may be used as indicative values in drawing up one’s own interest rate forecasts. Deterministic values without buying-/selling-rate differentials do, as a rule, not represent any quantities that can be realistically constructed, because they are applicable only in perfect markets. In practice, the relevant eqguilibrium discount factors and the equilibrium forward rates reflect a bank’s selling and buying position. Applying the aforementioned deliberations to the general investment and financing theories shows that the inseparability of investment and re-investment earnings, which is inevitable with the classical investment accounting method because of discretionary assumptions pertaining to future investment and borrowing rates, can be avoided with the market rate method. The present-value and the finalvalue concepts at the base of investment accounting systems employing the market interest rate method and the objective interest rates included in this method that pertain to future investments and borrowings are consistent and perfectly equal insofar as the benefits are concerned they suggest to exist.