Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
type: Item
instance of: scholarly article
title: Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
zbMATH Open document ID: 0523.90017
DOI: 10.2307/1912275
author: Gary Chamberlain
author: Michael Rothschild
published in: Econometrica
publication date: 1983-01-01T00:00:00Z
full work available at URL: Chamberlain ArbitrageFactor.pdf
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 3829585
zbMATH Keywords: mean-variance analysis
zbMATH Keywords: arbitrage
zbMATH Keywords: market with many assets
zbMATH Keywords: risk-free investment
zbMATH Keywords: approximate factor structure
zbMATH Keywords: principal component analysis
zbMATH Keywords: finance
zbMATH Keywords: continuous portfolio costs
MaRDI profile type: Publication
OpenAlex ID: W2162328283
description: scientific article