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Exact arbitrage, well-diversified portfolios and asset pricing in large markets

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Khan, M. Ali
Sun, Yeneng

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Article provided by Elsevier in its journal Journal of Economic Theory.

Volume (Year): 110 (2003)
Issue (Month): 2 (June)
Pages: 337-373
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Handle: RePEc:eee:jetheo:v:110:y:2003:i:2:p:337-373

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Web page: http://www.elsevier.com/locate/inca/622869

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  1. Huberman, Gur, 1982. "A simple approach to arbitrage pricing theory," Journal of Economic Theory, Elsevier, vol. 28(1), pages 183-191, October. [Downloadable!] (restricted)
  2. M. Ali Khan & Yeneng Sun, 1996. "Hyperfinite Asset Pricing Theory," Cowles Foundation Discussion Papers 1139, Cowles Foundation, Yale University. [Downloadable!]
  3. Reisman, Haim, 1988. "A General Approach to the Arbitrage Pricing Theory (APT)," Econometrica, Econometric Society, vol. 56(2), pages 473-76, March. [Downloadable!] (restricted)
  4. Werner, Jan, 1997. "Diversification and Equilibrium in Securities Markets," Journal of Economic Theory, Elsevier, vol. 75(1), pages 89-103, July. [Downloadable!] (restricted)
  5. Anderson, Robert M., 1991. "Non-standard analysis with applications to economics," Handbook of Mathematical Economics, in: W. Hildenbrand & H. Sonnenschein (ed.), Handbook of Mathematical Economics, edition 1, volume 4, chapter 39, pages 2145-2208 Elsevier. [Downloadable!] (restricted)
  6. Bewley, Truman F., 1972. "Existence of equilibria in economies with infinitely many commodities," Journal of Economic Theory, Elsevier, vol. 4(3), pages 514-540, June. [Downloadable!] (restricted)
  7. Feldman, Mark & Gilles, Christian, 1985. "An expository note on individual risk without aggregate uncertainty," Journal of Economic Theory, Elsevier, vol. 35(1), pages 26-32, February. [Downloadable!] (restricted)
  8. Khan, M. Ali & Sun, Yeneng, 2001. "Asymptotic Arbitrage and the APT with or without Measure-Theoretic Structures," Journal of Economic Theory, Elsevier, vol. 101(1), pages 222-251, November. [Downloadable!] (restricted)
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  9. Judd, Kenneth L., 1985. "The law of large numbers with a continuum of IID random variables," Journal of Economic Theory, Elsevier, vol. 35(1), pages 19-25, February. [Downloadable!] (restricted)
  10. M. Ali Khan & Yeneng Sun, 1999. "Weak measurability and characterizations of risk," Economic Theory, Springer, vol. 13(3), pages 541-560. [Downloadable!] (restricted)
  11. Sun, Yeneng, 1998. "A theory of hyperfinite processes: the complete removal of individual uncertainty via exact LLN1," Journal of Mathematical Economics, Elsevier, vol. 29(4), pages 419-503, May. [Downloadable!] (restricted)
  12. Gur Huberman & Zhenyu Wang, 2005. "Arbitrage pricing theory," Staff Reports 216, Federal Reserve Bank of New York. [Downloadable!]
  13. Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December. [Downloadable!] (restricted)
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