Arbitrage pricing theory in ergodic markets

DOI10.1142/S021902491850036XzbMATH Open1396.91822OpenAlexW2768210196WikidataQ129441885 ScholiaQ129441885MaRDI QIDQ4584704FDOQ4584704

Authors: Gabriel Frahm 

Publication date: 4 September 2018

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s021902491850036x

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zbMATH Keywords

ergodicityfactor modelseemingly unrelated regressionidiosyncratic riskbetaarbitrage pricing theoryexpected returncommon risk

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Actuarial science and mathematical finance (91G99)

Cites Work

• Asymptotic Statistics
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Martingales and stochastic integrals in the theory of continuous trading
• A stochastic calculus model of continuous trading: Complete markets
• Title not available (Why is that?)
• Encyclopedia of quantitative finance. 4 Volumes.
• Two estimators for the APT model when factors are measured
• A simple approach to arbitrage pricing theory
• Interpreting the factor risk premia in the arbitrage pricing theory
• A General Approach to the Arbitrage Pricing Theory (APT)
• Factor analysis and arbitrage pricing in large asset economies
• Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets
• Pricing and valuation under the real-world measure

Cited In (24)

• Market Models with Optimal Arbitrage
• The arbitrage pricing theorem with non-expected utility preferences
• Title not available (Why is that?)
• Title not available (Why is that?)
• Arbitrage theory
• A General Approach to the Arbitrage Pricing Theory (APT)
• The incompleteness problem of the APT model
• Arbitrage and pricing in a general model with flows
• Geometric arbitrage theory and market dynamics
• Arbitrage Theory in Continuous Time
• Title not available (Why is that?)
• Title not available (Why is that?)
• Arbitrage approximation theory
• Arbitrage Theory in Continuous Time
• Pointwise Arbitrage Pricing Theory in Discrete Time
• Statistical properties of estimators for the log-optimal portfolio
• On tests of the arbitrage pricing theory
• Title not available (Why is that?)
• Exact arbitrage, well-diversified portfolios and asset pricing in large markets.
• Arbitrage theory for non convex financial market models
• The arbitrage pricing theorem with incomplete preferences
• Universal strategies for diffusion markets and possibility of asymptotic arbitrage
• On the arbitrage pricing theory
• THE SQUARED ORNSTEIN‐UHLENBECK MARKET

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