Please use this identifier to cite or link to this item: https://doi.org/10.1007/s001990200328
Title: Exact arbitrage and portfolio analysis in large asset markets
Authors: Ali Khan, M.
Sun, Y. 
Keywords: Exact arbitrage
Loeb measure space.
Mean, cost and factor portfolios
Mean-variance efficient portfolio
Portfolio weights
Well-diversified portfolio
Issue Date: Oct-2003
Citation: Ali Khan, M., Sun, Y. (2003-10). Exact arbitrage and portfolio analysis in large asset markets. Economic Theory 22 (3) : 495-528. ScholarBank@NUS Repository. https://doi.org/10.1007/s001990200328
Abstract: We provide a detailed portfolio analysis for a financial market with an atomless continuum of assets. In the context of an exact arbitrage pricing theory (EAPT), we go beyond the characterization of the existence of important portfolios (normalized riskless, mean, cost, factor and mean-variance efficient portfolios) to furnish exact portfolio compositions in terms of explicit portfolio weights. Such an analysis has not been furnished before in the context of the asymptotic arbitrage pricing theory (APT). We also characterize conditions under which a mean-variance efficient portfolio is a benchmark portfolio used in the EAPT to proxy essential risk. We illustrate our results with several examples of specific financial markets.
Source Title: Economic Theory
URI: http://scholarbank.nus.edu.sg/handle/10635/103217
ISSN: 09382259
DOI: 10.1007/s001990200328
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