Factor analysis and arbitrage pricing in large asset economies

DOI10.1006/JETH.1997.2369MaRDI QIDQ1381998zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• On tests of the arbitrage pricing theory
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Cites work

• scientific article; zbMATH DE number 3137662 (Why is no real title available?)
• scientific article; zbMATH DE number 6846220 (Why is no real title available?)
• A unified beta pricing theory
• Arbitrage and Diversification in a General Equilibrium Asset Economy
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Decomposition and Characterization of Risk with a Continuum of Random Variables
• Diversification and equilibrium in securities markets
• On the arbitrage pricing theory

Cited in

(23)

• Finding the relevant risk factors for asset pricing
• A unified beta pricing theory
• Positive alphas and a generalized multiple-factor asset pricing model
• Arbitrage pricing theory in ergodic markets
• 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
• Deriving the arbitrage pricing theory when the number of factors is unknown
• On the robustness of factor structures to asset repackaging
• 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
• Factor uniqueness in the S\(\&\)P 500 universe: can proprietary factors exist?
• Exact arbitrage and portfolio analysis in large asset markets
• Exact arbitrage, well-diversified portfolios and asset pricing in large markets.
• Factor representing portfolios in large asset markets
• scientific article; zbMATH DE number 1795845 (Why is no real title available?)
• Stochastic Dominance, Pareto Optimality, and Equilibrium Asset Pricing
• 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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