NDLI: Exact arbitrage and portfolio analysis in large asset markets

Content Provider	Semantic Scholar
Author	Khan, M. Ali Sun, Yeneng
Copyright Year	2003
Abstract	Summary. 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.
Starting Page	495
Ending Page	528
Page Count	34
File Format	PDF HTM / HTML
DOI	10.1007/s001990200328
Volume Number	22
Alternate Webpage(s)	https://www.econstor.eu/bitstream/10419/72034/1/358034183.pdf
Alternate Webpage(s)	http://www.econ.jhu.edu/pdf/papers/WP484_khan.pdf
Alternate Webpage(s)	https://doi.org/10.1007/s001990200328
Language	English
Access Restriction	Open
Content Type	Text
Resource Type	Article

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