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

DOI10.1016/S0022-0531(03)00038-3MaRDI QIDQ1399558zbMATH OpenOpenAlexFDO

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, http://americanae.aecid.es/americanae/es/registros/registro.do?tipoRegistro=MTD&idBib=1629189

zbMATH Keywords

arbitrage pricing theoryasymptotic arbitrageessential riskExact arbitrageexact law of large numbersLoeb measure spacewell-diversified portfolio

Mathematics Subject Classification ID

Recommendations

• Exact arbitrage and portfolio analysis in large asset markets
• Arbitrage and Diversification in a General Equilibrium Asset Economy
• Factor analysis and arbitrage pricing in large asset economies
• Diversified portfolios in continuous time
• Arbitrage pricing theory in ergodic markets

Cites work

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• Asymptotic arbitrage and the APT with or without measure-theoretic structures.
• Conversion from Nonstandard to Standard Measure Spaces and Applications in Probability Theory
• Diversification and equilibrium in securities markets
• Efficiency Prices in Infinite Dimensional Spaces: A Synthesis
• Factor analysis and arbitrage pricing in large asset economies
• Funds, Factors, and Diversification in Arbitrage Pricing Models
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Cited in

(7)

• Exact arbitrage and portfolio analysis in large asset markets
• Factor representing portfolios in large asset markets
• Arbitrage and Diversification in a General Equilibrium Asset Economy
• Arbitrage pricing theory in ergodic markets
• scientific article; zbMATH DE number 1867100 (Why is no real title available?)
• Risk-neutral pricing for arbitrage pricing theory
• A unified beta pricing theory

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