Arbeitspapier
Exact arbitrage, well-diversified portfolios and asset pricing in large markets
For market with an atomless continuum of assets, we formulate the intuitive idea of a well-diversified portfolio, and present a notion of exact arbitrage, strictly weaker than the more conventional notion of asymptotic arbitrage, and necessary and sufficient for the validity of an APT pricing formula. One formula involves essential risk based on a specific index portfolio constructed from factors and factor loadings that are endogenously extracted to satisfy an optimality property involving a finite number of factors. We illustrate how our results can be translated to markets with a large but finite number of assets.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 483
- Klassifikation
-
Wirtschaft
- Thema
-
exact arbitrage
asymptotic arbitrage
exact law of large numbers
well-diversified portfolio
essential risk
arbitrage pricing theory
Loeb measure space.
Arbitrage Pricing
Portfolio-Management
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Khan, M. Ali
Sun, Yeneng
- Ereignis
-
Veröffentlichung
- (wer)
-
The Johns Hopkins University, Department of Economics
- (wo)
-
Baltimore, MD
- (wann)
-
2002
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Khan, M. Ali
- Sun, Yeneng
- The Johns Hopkins University, Department of Economics
Entstanden
- 2002
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