An Asymptotic Property of Equilibrium on Futures Markets Arising from Speculation
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چکیده
This paper presents an asymptotic property of a joint spot-futures market equilibrium established in Cheng-Magi11 (1982). As speculators diversify over a large number of markets, the equilibrium risk premium converges to an asymptotic premium, the behaviour of which depends solely on the stochastic dependence between the spot price and an index of average returns on other markets. Risk arising from the variability of the spot price itself is diversified away. The results are related to the arbitrage pricing theory of Ross (1976).
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تاریخ انتشار 1982