HD28 •M414 no. 9/ WORKING PAPER ALFRED SLOAN SCHOOL OF MANAGEMENT P. ARBITRAGE WITH HOLDING COSTS: A UTILITY-BASED APPROACH by Bruce Tuckman and Jean-Luc Vila Latest Revision: December 1991 Working Paper No. 3364-91-EFA MASSACHUSETTS INSTITUTE OF TECHNOLOGY 50 MEMORIAL DRIVE CAMBRIDGE, MASSACHUSETTS 02139 ARBITRAGE WITH HOLDING COSTS: A UTILITY-BASED APPROACH by Bruce Tuckman and Jean-Luc Vila Latest Revision: December 1991 Working Paper No. 3364-91-EFA M LIBRARIES l.T. 1M* 1 Arbitrage With Holding Costs: A Utility-Based Approach by Bruce Tuckman Stern School of Business, New York University and Jean-Luc Vila Sloan School of Management, M.I.T. This version: December, 1991 We would like to thank participants in the N.Y.U. and Cornell Finance Seminar Series, participants in the 1990 AFA and AFFI meetings, and an anonymous referee for helpful comments and suggestions.