Arbitrage and Diversification in a General Equilibrium Asset Economy
AbstractThis paper presents a theory of equilibrium asset pricing that generalizes the recent work of G. Connor (1984). Th e model extends Connor's results to more general sets of asset return s and consumer preferences; introduces production; and provides a fra mework for analyzing exact and approximate equilibrium asset pricing. The other major contribution of the paper is the introduction of geo metric arguments that exploit the properties of induced preferences o ver assets. This method of analyzing asset pricing provides an intuit ively appealing way of analyzing equilibrium asset pricing theories. Copyright 1988 by The Econometric Society.
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Bibliographic InfoArticle provided by Econometric Society in its journal Econometrica.
Volume (Year): 56 (1988)
Issue (Month): 4 (July)
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- Reffett, Kevin L., 1995. "Arbitrage pricing and the stochastic inflation tax in a multisector monetary economy," Journal of Economic Dynamics and Control, Elsevier, vol. 19(3), pages 569-597, April.
- Werner, Jan, 1997. "Diversification and Equilibrium in Securities Markets," Journal of Economic Theory, Elsevier, vol. 75(1), pages 89-103, July.
- Chen, Kim Heng & Jandhyala, Venkata K. & Fotopoulos, Stergios B., 2005. "Nonlinear Properties of Multifactor Financial Models," Review of Applied Economics, Review of Applied Economics, vol. 1(2).
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- Ortobelli, Sergio & Rachev, Svetlozar & Schwartz, Eduardo, 2000. "The Problem of Optimal Asset Allocation with Stable Distributed Returns," University of California at Los Angeles, Anderson Graduate School of Management qt3zd6q86c, Anderson Graduate School of Management, UCLA.
- Al-Najjar, Nabil I., 1998. "Factor Analysis and Arbitrage Pricing in Large Asset Economies," Journal of Economic Theory, Elsevier, vol. 78(2), pages 231-262, February.
- Madan, Dilip B., 2004. "Monitored financial equilibria," Journal of Banking & Finance, Elsevier, vol. 28(9), pages 2213-2235, September.
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