Factor analysis and arbitrage pricing in large asset economies

DOI10.1006/JETH.1997.2369zbMath0895.90029OpenAlexW2083182804MaRDI QIDQ1381998

Nabil I. Al-Najjar

Publication date: 4 May 1998

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/d2481182de5676f66038b7df01bbfa369026e237

zbMATH Keywords

factor analysisarbitrage pricingcontinuum of assets

Mathematics Subject Classification ID

Production theory, theory of the firm (91B38) Microeconomic theory (price theory and economic markets) (91B24)

Related Items (4)

ARBITRAGE PRICING THEORY IN ERGODIC MARKETS ⋮ Exact arbitrage, well-diversified portfolios and asset pricing in large markets. ⋮ Asymptotic arbitrage and the APT with or without measure-theoretic structures. ⋮ On the robustness of factor structures to asset repackaging

Cites Work

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• A unified beta pricing theory
• On the arbitrage pricing theory
• Diversification and equilibrium in securities markets
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Arbitrage and Diversification in a General Equilibrium Asset Economy
• Decomposition and Characterization of Risk with a Continuum of Random Variables

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