Asymptotic arbitrage and the APT with or without measure-theoretic structures. (Q5956282)

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scientific article; zbMATH DE number 1708991
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Asymptotic arbitrage and the APT with or without measure-theoretic structures.
scientific article; zbMATH DE number 1708991

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    Asymptotic arbitrage and the APT with or without measure-theoretic structures. (English)
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    2001
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    The arbitrage pricing theory is presented based on an asset index set of an arbitrary infinite cardinality. The assumptions from \textit{S. A. Ross} [In: ``Risk and Return in Finance (I. Friend and J. L. Bicksler, Eds.), Balinger, Cambridge, MA (1976)] and \textit{G. Chamberlain} and \textit{M. Rothschild} [Econometrica 51, 1281--1304 (1983; Zbl 0523.90017)] are used. In the absence of gains from asymptotic arbitrage, it is shown that the square of the deviations of the individual rates of return from a factor-pricing formula sum to a finite number. This is a generalization of Ross' basic result. It is shown as well that the absence of gains is not necessary for the formula to hold. The authors relate the results to the approaches based on finitely additive measures and the Lebesgue unit interval.
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    arbitrage pricing theory
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    continuity of cost functionals
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    Reisz representation theorem
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    finitely-additive measure space
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