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Diversification and Equilibrium in Securities Markets

  • Werner, Jan

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File URL: http://www.sciencedirect.com/science/article/B6WJ3-45S936N-1J/2/7f86299f2afe9e3a244e2c66b526c661
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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
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/622869

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  1. Milne, Frank, 1988. "Arbitrage and Diversification in a General Equilibrium Asset Economy," Econometrica, Econometric Society, vol. 56(4), pages 815-40, July.
  2. Reisman, Haim, 1988. "A General Approach to the Arbitrage Pricing Theory (APT)," Econometrica, Econometric Society, vol. 56(2), pages 473-76, March.
  3. Chamberlain, Gary, 1983. "Funds, Factors, and Diversification in Arbitrage Pricing Models," Econometrica, Econometric Society, vol. 51(5), pages 1305-23, September.
  4. C. Gilles & S.F. Leroy, 1989. "On the Arbitrage Pricing Theory," Carleton Economic Papers 89-09, Carleton University, Department of Economics, revised Jul 1991.
  5. Nielsen, Lars Tyge, 1989. "Asset Market Equilibrium with Short-Selling," Review of Economic Studies, Wiley Blackwell, vol. 56(3), pages 467-73, July.
  6. Brown, D.J. & Werner, J., 1992. "Arbitrage and Existence of Equilibrium in Finite Asset Markets," Papers 43, Stanford - Institute for Thoretical Economics.
  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.
  8. Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December.
  9. Chamberlain, Gary & Rothschild, Michael, 1983. "Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets," Econometrica, Econometric Society, vol. 51(5), pages 1281-304, September.
  10. Rothschild, Michael & Stiglitz, Joseph E., 1970. "Increasing risk: I. A definition," Journal of Economic Theory, Elsevier, vol. 2(3), pages 225-243, September.
  11. Hart, Oliver D., 1974. "On the existence of equilibrium in a securities model," Journal of Economic Theory, Elsevier, vol. 9(3), pages 293-311, November.
  12. Hammond, Peter J., 1983. "Overlapping expectations and Hart's conditions for equilibrium in a securities model," Journal of Economic Theory, Elsevier, vol. 31(1), pages 170-175, October.
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