Exact arbitrage and portfolio analysis in large asset markets

被引：0
|
作者：
M. Ali Khan
Yeneng Sun
机构：
[1] Department of Economics,
[2] The Johns Hopkins University,undefined
[3] Baltimore,undefined
[4] MD 21218,undefined
[5] USA (e-mail: akhan@jhu.edu) ,undefined
[6] Institute for Mathematical Sciences,undefined
[7] National University of Singapore,undefined
[8] 3 Prince George's Park,undefined
[9] Singapore 118402,undefined
[10] SINGAPORE ,undefined
[11] Department of Mathematics and the Centre for Financial Engineering,undefined
[12] National University of Singapore,undefined
[13] SINGAPORE (e-mail: matsuny@math.nus.edu.sg) ,undefined
来源：
Economic Theory | 2003年 / 22卷
关键词：
Keywords and Phrases: Exact arbitrage, Portfolio weights, Well-diversified portfolio, Mean-variance efficient portfolio, Mean, cost and factor portfolios, Loeb measure space.; JEL Classification Numbers: G12, C60.;
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学科分类号：
摘要：
We provide a detailed portfolio analysis for a financial market with an atomless continuum of assets. In the context of an exact arbitrage pricing theory (EAPT), we go beyond the characterization of the existence of important portfolios (normalized riskless, mean, cost, factor and mean-variance efficient portfolios) to furnish exact portfolio compositions in terms of explicit portfolio weights. Such an analysis has not been furnished before in the context of the asymptotic arbitrage pricing theory (APT). We also characterize conditions under which a mean-variance efficient portfolio is a benchmark portfolio used in the EAPT to proxy essential risk. We illustrate our results with several examples of specific financial markets.
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页码：495 / 528
页数：33
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