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https://doi.org/10.1007/s001990200328
DC Field | Value | |
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dc.title | Exact arbitrage and portfolio analysis in large asset markets | |
dc.contributor.author | Ali Khan, M. | |
dc.contributor.author | Sun, Y. | |
dc.date.accessioned | 2014-10-28T02:34:38Z | |
dc.date.available | 2014-10-28T02:34:38Z | |
dc.date.issued | 2003-10 | |
dc.identifier.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 | |
dc.identifier.issn | 09382259 | |
dc.identifier.uri | http://scholarbank.nus.edu.sg/handle/10635/103217 | |
dc.description.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. | |
dc.description.uri | http://libproxy1.nus.edu.sg/login?url=http://dx.doi.org/10.1007/s001990200328 | |
dc.source | Scopus | |
dc.subject | Exact arbitrage | |
dc.subject | Loeb measure space. | |
dc.subject | Mean, cost and factor portfolios | |
dc.subject | Mean-variance efficient portfolio | |
dc.subject | Portfolio weights | |
dc.subject | Well-diversified portfolio | |
dc.type | Article | |
dc.contributor.department | MATHEMATICS | |
dc.description.doi | 10.1007/s001990200328 | |
dc.description.sourcetitle | Economic Theory | |
dc.description.volume | 22 | |
dc.description.issue | 3 | |
dc.description.page | 495-528 | |
dc.identifier.isiut | 000185597500002 | |
Appears in Collections: | Staff Publications |
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