Asymptotic Arbitrage and the APT with or Without Measure-Theoretic Structures
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- 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.
References listed on IDEAS
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Cited by:
- Birge, John R. & Yang, Song, 2007. "A model for tax advantages of portfolios with many assets," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3269-3290, November.
- Herzberg, Frederik, 2011. "On the foundations of Lévy finance. Equilibrium for a single-agent financial market with jumps," Center for Mathematical Economics Working Papers 406, Center for Mathematical Economics, Bielefeld University.
- Laurence Carassus & Miklos Rasonyi, 2019. "Risk-neutral pricing for APT," Papers 1904.11252, arXiv.org, revised Oct 2020.
- Anderson, Robert M. & Raimondo, Roberto C., 2007. "Equilibrium in Continuous-Time Financial Markets: Endogenously Dynamically Complete Markets," Department of Economics, Working Paper Series qt0zq6v5gd, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
- Khan, M. Ali & Sun, Yeneng, 2003.
"Exact arbitrage, well-diversified portfolios and asset pricing in large markets,"
Journal of Economic Theory, Elsevier, vol. 110(2), pages 337-373, June.
- Ali Khan, M. & Sun, Yeneng, 2001. "Exact arbitrage, well-diversified portfolios and asset pricing in large markets," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 420, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- M Ali Khan & Yeneng Sun, 2002. "Exact Arbitrage Well-Diversified Potfolios and Asset Pricing in Large Markets," Economics Working Paper Archive 483, The Johns Hopkins University,Department of Economics.
- Michailidis, G., 2009. "Multivariate methods in examining macroeconomic variables effect on Greek stock market returns, 1997-2004," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 9(1).
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"Exact arbitrage and portfolio analysis in large asset markets,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 22(3), pages 495-528, October.
- M Ali Khan & Yeneng Sun, 2002. "Exact Arbitrage and Portfolio Analysis in Large Asset Markets," Economics Working Paper Archive 484, The Johns Hopkins University,Department of Economics.
- Kim Sawyer & André Gygax & Matthew Hazledine, 2010. "Pricing errors and estimates of risk premia in factor models," Annals of Finance, Springer, vol. 6(3), pages 391-403, July.
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More about this item
Keywords
ARBITRAGE ; PRICING ; COSTS;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
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