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Arbitrage and equilibrium with exchangeable risks

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Author Info
HEIFETZ, Aviad
MINELLI, Enrico
POLEMARCHAKIS, Heracles

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Abstract

In an economy with a non-atomic measure space of assets and exchangeable risks, the Arbitrage Pricing Theory (APT) holds exactly; and factors are structurally specified, which allows for an economic interpretation.

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Publisher Info
Paper provided by Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) in its series CORE Discussion Papers with number 1999046.

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Date of creation: 01 Aug 1999
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Handle: RePEc:cor:louvco:1999046

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Related research
Keywords: arbitrage; exchangeability.;

Find related papers by JEL classification:
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets

References listed on IDEAS
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  1. Ross, Stephen A, 1978. "A Simple Approach to the Valuation of Risky Streams," Journal of Business, University of Chicago Press, vol. 51(3), pages 453-75, July. [Downloadable!] (restricted)
  2. 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)
  3. Al-Najjar, Nabil I., 1999. "On the robustness of factor structures to asset repackaging," Journal of Mathematical Economics, Elsevier, vol. 31(3), pages 309-320, April. [Downloadable!] (restricted)
  4. Cass, David & Shell, Karl, 1983. "Do Sunspots Matter?," Journal of Political Economy, University of Chicago Press, vol. 91(2), pages 193-227, April. [Downloadable!] (restricted)
  5. Arrow, Kenneth J & Lind, Robert C, 1970. "Uncertainty and the Evaluation of Public Investment Decisions," American Economic Review, American Economic Association, vol. 60(3), pages 364-78, June.
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