Asymptotic arbitrage and the APT with or without measure-theoretic structures.
From MaRDI portal
Publication:5956282
DOI10.1006/jeth.2000.2737zbMath1050.91030OpenAlexW2039247478MaRDI QIDQ5956282
Publication date: 2001
Published in: Journal of Economic Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1006/jeth.2000.2737
arbitrage pricing theorycontinuity of cost functionalsfinitely-additive measure spaceReisz representation theorem
Related Items (3)
Exact arbitrage, well-diversified portfolios and asset pricing in large markets. ⋮ Pricing errors and estimates of risk premia in factor models ⋮ On abstract economies with an arbitrary set of players and action sets in locally-convex topological vector spaces
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- An expository note on individual risk without aggregate uncertainty
- A simple approach to arbitrage pricing theory
- The law of large numbers with a continuum of i.i.d. random variables
- Weak measurability and characterizations of risk
- A theory of hyperfinite processes: The complete removal of individual uncertainty via exact LLN
- Diversification and equilibrium in securities markets
- Factor analysis and arbitrage pricing in large asset economies
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- The law of large numbers, examples and counterexamples.
- A General Approach to the Arbitrage Pricing Theory (APT)
- Conversion from Nonstandard to Standard Measure Spaces and Applications in Probability Theory
- The Equality of the Core and the Set of Equilibria in Economies with Infinitely Many Commodities and a Continuum of Agents
- Hyperfinite Law of Large Numbers
- Efficiency Prices in Infinite Dimensional Spaces: A Synthesis
- Joint measurability and the one-way Fubini property for a continuum of independent random variables
This page was built for publication: Asymptotic arbitrage and the APT with or without measure-theoretic structures.
