Decomposition and Characterization of Risk with a Continuum of Random Variables

DOI10.2307/2171727MaRDI QIDQ4859508zbMATH OpenOpenAlexFDO

Authors Nabil I. Al-Najjar

Publication date 7 January 1996

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2171727

zbMATH Keywords

continuum of random variablesidiosyncratic riskrepresentation and characterization of risksstrategic uncertainty in large games

Mathematics Subject Classification ID

Games with infinitely many players (91A07) Decision theory for games (91A35)

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• Factor analysis and arbitrage pricing in large asset economies
• Regular variation of a random length sequence of random variables and application to risk assessment
• Informational smallness in rational expectations equilibria.
• A law of large numbers for large economies
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