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scientific article; zbMATH DE number 1867100
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scientific article; zbMATH DE number 1867100 |
Statements
24 March 2003
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asymptotic arbitrage
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approximate factor structure
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pricing
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0.8599273562431335
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0.8150064945220947
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0.8089573383331299
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0.7979669570922852
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0.7858641743659973
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The extended APT (Arbitrage Pricing Theory) of Ross's (1977) has become a fundamental rule of the financial market, which tells that the APT type formula holds for a finance market having an approximate factor structure and without asymptotic arbitrage. In the present paper, the converse problem is studied and it is shown that if the market idiosycratic risks of the asset returns are not too small in some sense, then the validity of the APT type formula implies no asymptotic arbitrage of the market. For the entire collection see [Zbl 0988.00099].
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