Arbitrage pricing theory in ergodic markets

DOI10.1142/S021902491850036XMaRDI QIDQ4584704zbMATH OpenOpenAlexWikidataFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 1006369 (Why is no real title available?)
• A General Approach to the Arbitrage Pricing Theory (APT)
• A simple approach to arbitrage pricing theory
• A stochastic calculus model of continuous trading: Complete markets
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Asymptotic Statistics
• Encyclopedia of quantitative finance. 4 Volumes.
• Factor analysis and arbitrage pricing in large asset economies
• Interpreting the factor risk premia in the arbitrage pricing theory
• Martingales and stochastic integrals in the theory of continuous trading
• Pricing and valuation under the real-world measure
• Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets
• Two estimators for the APT model when factors are measured

Cited in

(24)

• Arbitrage theory for non convex financial market models
• THE SQUARED ORNSTEIN‐UHLENBECK MARKET
• scientific article; zbMATH DE number 1867100 (Why is no real title available?)
• scientific article; zbMATH DE number 1867107 (Why is no real title available?)
• Statistical properties of estimators for the log-optimal portfolio
• On tests of the arbitrage pricing theory
• scientific article; zbMATH DE number 7606594 (Why is no real title available?)
• Universal strategies for diffusion markets and possibility of asymptotic arbitrage
• scientific article; zbMATH DE number 1867103 (Why is no real title available?)
• Arbitrage Theory in Continuous Time
• Market Models with Optimal Arbitrage
• Arbitrage and pricing in a general model with flows
• Exact arbitrage, well-diversified portfolios and asset pricing in large markets.
• The arbitrage pricing theorem with non-expected utility preferences
• The arbitrage pricing theorem with incomplete preferences
• Arbitrage Theory in Continuous Time
• The incompleteness problem of the APT model
• Arbitrage approximation theory
• Geometric arbitrage theory and market dynamics
• On the arbitrage pricing theory
• Pointwise Arbitrage Pricing Theory in Discrete Time
• A General Approach to the Arbitrage Pricing Theory (APT)
• scientific article; zbMATH DE number 1559483 (Why is no real title available?)
• Arbitrage theory

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