On the robustness of factor structures to asset repackaging

DOI10.1016/S0304-4068(97)00069-4MaRDI QIDQ1300417zbMATH OpenOpenAlexWikidataFDO

Authors Nabil I. Al-Najjar

Publication date 25 June 2000

Published in Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0304-4068(97)00069-4, http://hdl.handle.net/10419/221520

zbMATH Keywords

asset repackagingfactor structuresrobustness

Mathematics Subject Classification ID

Recommendations

• Factor analysis and arbitrage pricing in large asset economies
• Stochastic Dominance, Pareto Optimality, and Equilibrium Asset Pricing
• Optimality of incomplete markets
• Pareto optima in incomplete financial markets
• Characterisation of generically complete real asset structures

Cites work

• Decomposition and Characterization of Risk with a Continuum of Random Variables
• Factor analysis and arbitrage pricing in large asset economies
• On the arbitrage pricing theory

Cited in

(1)

• REEXAMINATION OF THE ROBUSTNESS OF THE FAMA-FRENCH THREE-FACTOR MODEL

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