Please use this identifier to cite or link to this item:
https://doi.org/10.1006/jeth.2000.2737
DC Field | Value | |
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dc.title | Asymptotic arbitrage and the APT with or without measure-theoretic structures | |
dc.contributor.author | Khan, M.A. | |
dc.contributor.author | Sun, Y. | |
dc.date.accessioned | 2014-10-28T02:30:50Z | |
dc.date.available | 2014-10-28T02:30:50Z | |
dc.date.issued | 2001 | |
dc.identifier.citation | Khan, M.A., Sun, Y. (2001). Asymptotic arbitrage and the APT with or without measure-theoretic structures. Journal of Economic Theory 101 (1) : 222-251. ScholarBank@NUS Repository. https://doi.org/10.1006/jeth.2000.2737 | |
dc.identifier.issn | 00220531 | |
dc.identifier.uri | http://scholarbank.nus.edu.sg/handle/10635/102886 | |
dc.description.abstract | We present a version of the APT based on an asset index set of an arbitrary infinite cardinality. Under assumptions due to Ross (1976, J. Econ. Theory 13, 341-360) and Chamberlain and Rothschild (1983, Econometrica 51, 1281-1303), we show that, in the absence of gains from asymptotic arbitrage, the square of the deviations of the individual rates of return from a factor-pricing formula sum to a finite number and that this absence, while sufficient, is not necessary for the formula to hold. We relate these results to recent work and explain, in particular, how a version of the APT exhibits several inconsistencies when the index set is the Lebesgue unit interval. Journal of Economic Literature Classification Numbers: G12, C60. © 2001 Academic Press. | |
dc.description.uri | http://libproxy1.nus.edu.sg/login?url=http://dx.doi.org/10.1006/jeth.2000.2737 | |
dc.source | Scopus | |
dc.subject | Arbitrage pricing theory | |
dc.subject | Asymptotic arbitrage | |
dc.subject | Continuity of cost functionals | |
dc.subject | Factor structure | |
dc.subject | Finitely-additive measure space | |
dc.subject | Lebesgue continuum | |
dc.subject | Reisz representation theorem | |
dc.type | Article | |
dc.contributor.department | MATHEMATICS | |
dc.description.doi | 10.1006/jeth.2000.2737 | |
dc.description.sourcetitle | Journal of Economic Theory | |
dc.description.volume | 101 | |
dc.description.issue | 1 | |
dc.description.page | 222-251 | |
dc.description.coden | JECTA | |
dc.identifier.isiut | 000172558600008 | |
Appears in Collections: | Staff Publications |
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