Factor analysis and arbitrage pricing in large asset economies

DOI10.1006/JETH.1997.2369zbMATH Open0895.90029OpenAlexW2083182804MaRDI QIDQ1381998FDOQ1381998

Authors: Nabil I. Al-Najjar 

Publication date: 4 May 1998

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

Full work available at URL: https://semanticscholar.org/paper/d2481182de5676f66038b7df01bbfa369026e237

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zbMATH Keywords

factor analysisarbitrage pricingcontinuum of assets

Mathematics Subject Classification ID

Production theory, theory of the firm (91B38) Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• Title not available (Why is that?)
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Title not available (Why is that?)
• Diversification and equilibrium in securities markets
• Arbitrage and Diversification in a General Equilibrium Asset Economy
• A unified beta pricing theory
• On the arbitrage pricing theory
• Decomposition and Characterization of Risk with a Continuum of Random Variables

Cited In (18)

• Finding the relevant risk factors for asset pricing
• A unified beta pricing theory
• Equilibrium asset pricing: with non-Gaussian factors and exponential utilities
• Prices as factors: approximate aggregation with incomplete markets.
• Explaining the single factor bias of arbitrage pricing models in finite samples
• Cross-section without factors: a string model for expected returns
• On the robustness of factor structures to asset repackaging
• ARBITRAGE PRICING THEORY IN ERGODIC MARKETS
• Interpreting the factor risk premia in the arbitrage pricing theory
• Arbitrage and Diversification in a General Equilibrium Asset Economy
• Structural modelling of global capital asset pricing
• Exact arbitrage and portfolio analysis in large asset markets
• Title not available (Why is that?)
• Exact arbitrage, well-diversified portfolios and asset pricing in large markets.
• State space methods in asset pricing
• Pricing errors and estimates of risk premia in factor models
• On the arbitrage pricing theory
• Asymptotic arbitrage and the APT with or without measure-theoretic structures.

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