Diversification and equilibrium in securities markets

DOI10.1006/jeth.1997.2271zbMath0888.90022OpenAlexW1977398068MaRDI QIDQ1367763

Jan Werner

Publication date: 21 May 1998

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jeth.1997.2271

zbMATH Keywords

portfoliodiversificationarbitrage pricing theoremfinitely additive signed measures

Mathematics Subject Classification ID

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

Related Items (6)

Aggregation and the law of large numbers in large economies ⋮ Factor analysis and arbitrage pricing in large asset economies ⋮ Exact arbitrage, well-diversified portfolios and asset pricing in large markets. ⋮ Financial market structures revealed by pricing rules: efficient complete markets are prevalent ⋮ Asymptotic arbitrage and the APT with or without measure-theoretic structures. ⋮ Portfolio dominance and optimality in infinite security markets

Cites Work

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• An expository note on individual risk without aggregate uncertainty
• A unified beta pricing theory
• Overlapping expectations and Hart's conditions for equilibrium in a securities model
• On the arbitrage pricing theory
• A law of large numbers for large economies
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Funds, Factors, and Diversification in Arbitrage Pricing Models
• A General Approach to the Arbitrage Pricing Theory (APT)
• Arbitrage and Diversification in a General Equilibrium Asset Economy
• Asset Market Equilibrium with Short-Selling
• Arbitrage and Existence of Equilibrium in Infinite Asset Markets

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