Arbitrage and Diversification in a General Equilibrium Asset Economy

DOI10.2307/1912700zbMath0658.90014OpenAlexW2024185485MaRDI QIDQ3807842

Frank Milne

Publication date: 1988

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1912700

zbMATH Keywords

asset pricingdiversificationcompetitive asset exchange economyEquilibrium Arbitrage Pricingidiosyncratic returns

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items (8)

The arbitrage pricing theorem with incomplete preferences ⋮ Financial equilibrium with non-linear valuations ⋮ Diversification and equilibrium in securities markets ⋮ Factor analysis and arbitrage pricing in large asset economies ⋮ Existence of Equilibria in Incomplete Markets with Non-Ordered Preferences ⋮ Tax Arbitrage, Existence of Equilibrium, and Bounded Tax Rebates¹ ⋮ Arbitrage pricing and the stochastic inflation tax in a multisector monetary economy ⋮ OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS

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