Exact arbitrage and portfolio analysis in large asset markets

Arbeitspapier

We provide a detailed portfolio analysis for a financial 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 efficient portfolios) to furnish exact portfolio compositions in terms of explicit portfolio weights. Such an analysis has not been furnished before in the context of the asymptotic arbitrage pricing theory (APT). We also characterize conditions under which a mean-variance efficient portfolio is a benchmark portfolio used in the EAPT to proxy essential risk. We illustrate our results with several examples of specific financial markets.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Working Paper ; No. 484

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Asset Pricing; Trading Volume; Bond Interest Rates ; Mathematical Methods; Programming Models; Mathematical and Simulation Modeling: General
• Thema: exact arbitrage ; portfolio weights ; well-diversified portfolio ; mean-variance efficient portfolio ; mean ; cost and factor portfolios ; Loeb measure space ; Arbitrage Pricing ; Portfolio-Management ; Theorie

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Khan, M. Ali ; Sun, Yeneng
• Ereignis: Veröffentlichung
• (wer): The Johns Hopkins University, Department of Economics
• (wo): Baltimore, MD
• (wann): 2002

Weitere Informationen

• Handle: http://hdl.handle.net/10419/72034
• Letzte Aktualisierung: 10.03.2025, 11:41 MEZ