Exact arbitrage, well-diversified portfolios and asset pricing in large markets.

DOI10.1016/S0022-0531(03)00038-3zbMATH Open1074.91017OpenAlexW2078036664MaRDI QIDQ1399558FDOQ1399558

Authors: M. Ali Khan, Yeneng Sun 

Publication date: 30 July 2003

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

Full work available at URL: https://doi.org/10.1016/s0022-0531(03)00038-3

Recommendations

• Exact arbitrage and portfolio analysis in large asset markets
• Arbitrage and Diversification in a General Equilibrium Asset Economy
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• Diversified Portfolios in Continuous Time *
• Arbitrage pricing theory in ergodic markets

zbMATH Keywords

asymptotic arbitragearbitrage pricing theoryexact law of large numbersLoeb measure spaceessential riskExact arbitragewell-diversified portfolio

Mathematics Subject Classification ID

Cites Work

• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
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• Diversification and equilibrium in securities markets
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• Efficiency Prices in Infinite Dimensional Spaces: A Synthesis
• Asymptotic arbitrage and the APT with or without measure-theoretic structures.
• A simple approach to arbitrage pricing theory
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• A General Approach to the Arbitrage Pricing Theory (APT)
• Factor analysis and arbitrage pricing in large asset economies
• Hyperfinite Law of Large Numbers

Cited In (7)

• A unified beta pricing theory
• Arbitrage pricing theory in ergodic markets
• Title not available (Why is that?)
• Arbitrage and Diversification in a General Equilibrium Asset Economy
• Exact arbitrage and portfolio analysis in large asset markets
• Factor representing portfolios in large asset markets
• Risk-neutral pricing for arbitrage pricing theory

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