Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
نویسندگان
چکیده
منابع مشابه
Exact Arbitrage and Portfolio Analysis in Large Asset Markets
We provide a detailed portfolio analysis for a nancial market with an atomless continuum of assets. In the context of an exact arbitrage pricing theory (EAPT), we go beyond the characterization of the existence of important portfolios (normalized riskless, mean, cost, factor and mean-variance eÆcient portfolios) to furnish exact portfolio compositions in terms of explicit portfolio weights. Suc...
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At arbitrary prices of commodities and assets, fix-price equilibria exist under weak assumptions: endowments need not satisfy an interiority condition, utility functions need only satisfy a very weak monotonicity requirement, and the asset return matrix allows for redundant assets. Prices of assets may permit arbitrage. At equilibrium, though restricted through endogenously determined trading c...
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ژورنال
عنوان ژورنال: Econometrica
سال: 1983
ISSN: 0012-9682
DOI: 10.2307/1912275