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Diversification and Equilibrium in Securities Markets

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  • Werner, Jan
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    Bibliographic Info

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

    Volume (Year): 75 (1997)
    Issue (Month): 1 (July)
    Pages: 89-103

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    Handle: RePEc:eee:jetheo:v:75:y:1997:i:1:p:89-103

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

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Gary Chamberlain & Michael Rothschild, 1982. "Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets," NBER Working Papers 0996, National Bureau of Economic Research, Inc.
    2. C. Gilles & S.F. Leroy, 1989. "On the Arbitrage Pricing Theory," Carleton Economic Papers 89-09, Carleton University, Department of Economics, revised Jul 1991.
    3. Brown, Donald & Werner, Jan, 1993. "Arbitrage and Existence of Equilibrium in Infinite Asset Markets," Working Papers, California Institute of Technology, Division of the Humanities and Social Sciences 825, California Institute of Technology, Division of the Humanities and Social Sciences.
    4. Feldman, Mark & Gilles, Christian, 1985. "An expository note on individual risk without aggregate uncertainty," Journal of Economic Theory, Elsevier, Elsevier, vol. 35(1), pages 26-32, February.
    5. Reisman, Haim, 1988. "A General Approach to the Arbitrage Pricing Theory (APT)," Econometrica, Econometric Society, Econometric Society, vol. 56(2), pages 473-76, March.
    6. Milne, Frank, 1988. "Arbitrage and Diversification in a General Equilibrium Asset Economy," Econometrica, Econometric Society, Econometric Society, vol. 56(4), pages 815-40, July.
    7. Nielsen, Lars Tyge, 1989. "Asset Market Equilibrium with Short-Selling," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 56(3), pages 467-73, July.
    8. Rothschild, Michael & Stiglitz, Joseph E., 1970. "Increasing risk: I. A definition," Journal of Economic Theory, Elsevier, Elsevier, vol. 2(3), pages 225-243, September.
    9. Hammond, Peter J., 1983. "Overlapping expectations and Hart's conditions for equilibrium in a securities model," Journal of Economic Theory, Elsevier, Elsevier, vol. 31(1), pages 170-175, October.
    10. Hart, Oliver D., 1974. "On the existence of equilibrium in a securities model," Journal of Economic Theory, Elsevier, Elsevier, vol. 9(3), pages 293-311, November.
    11. Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, Elsevier, vol. 13(3), pages 341-360, December.
    12. Chamberlain, Gary, 1983. "Funds, Factors, and Diversification in Arbitrage Pricing Models," Econometrica, Econometric Society, Econometric Society, vol. 51(5), pages 1305-23, September.
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    Cited by:
    1. Brown, Murray & Chiang, Shin-Hwan, 2002. "Unsystematic risk and coalition formation in product markets," International Journal of Industrial Organization, Elsevier, Elsevier, vol. 20(3), pages 313-338, March.
    2. Khan, M. Ali & Sun, Yeneng, 2001. "Exact Arbitrage, Well-Diversified Portfolios and Asset Pricing in Large Markets," Economics Working Papers (Ensaios Economicos da EPGE) 420, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
    3. Aliprantis, C. D. & D. J. Brown & I. A. Polyrakis & J. Werner, 1996. "Portfolio Dominance and Optimality in Infinite Security Markets," Discussion Paper Serie B 383, University of Bonn, Germany.
    4. Takashi Kamihigashi & John Stachurski, 2014. "Partial Stochastic Dominance," Discussion Paper Series, Research Institute for Economics & Business Administration, Kobe University DP2014-23, Research Institute for Economics & Business Administration, Kobe University.
    5. Sujoy Mukerji & Jean-Marc Tallon, 2000. "Ambiguity Aversion and Incompleteness of Financial Markets," Economics Series Working Papers 46, University of Oxford, Department of Economics.
    6. Khan, M. Ali & Sun, Yeneng, 2001. "Asymptotic Arbitrage and the APT with or without Measure-Theoretic Structures," Journal of Economic Theory, Elsevier, Elsevier, vol. 101(1), pages 222-251, November.
    7. Al-Najjar, Nabil I., 1998. "Factor Analysis and Arbitrage Pricing in Large Asset Economies," Journal of Economic Theory, Elsevier, Elsevier, vol. 78(2), pages 231-262, February.
    8. Al-Najjar, Nabil I., 2004. "Aggregation and the law of large numbers in large economies," Games and Economic Behavior, Elsevier, vol. 47(1), pages 1-35, April.

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