Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/13402
Title: Large games and large asset markets
Authors: XU YING
Keywords: Characterizing Equilibria, Large Games, Asset pricing models, Fubini extension, Loeb space
Issue Date: 13-Nov-2007
Source: XU YING (2007-11-13). Large games and large asset markets. ScholarBank@NUS Repository.
Abstract: The thesis will focus on two economic topics. In the first part, large games are studied. We will see it is easy to get the existence of equilibria when proper probability spaces of player names are chosen. Our original contribution is the characterization of equilibrium distribution in large games. The second part of the thesis concentrates on the asset pricing models. Two of the most significant models are discussed b the capital asset pricing model (CAPM) and the arbitrage pricing model (APT). A Fubini extension is formally introduced as a probability space that extends the usual probability space and retains the Fubini property. Our prime result in this chapter is a new factor model based on the model of Khan and Sun(2003), where the joint asset and sample space are endowed with a Fubini extension.
URI: http://scholarbank.nus.edu.sg/handle/10635/13402
Appears in Collections:Master's Theses (Open)

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