Exact arbitrage, well-diversified portfolios and asset pricing in large markets

• 成果类型: Article
• 署名作者: Khan, MA; Sun, YN
• 署名单位: Johns Hopkins University; National University of Singapore; National University of Singapore; National University of Singapore
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/S0022-0531(03)00038-3
• 发表日期: 2003
• 页码: 337-373
• 关键词: exact arbitrage; asymptotic arbitrage; Exact law of large numbers; well-diversified portfolio; essential risk; arbitrage pricing theory; Loeb measure space

摘要

For a market with an atomless continuum of assets, we formulate the intuitive idea of a well-diversified portfolio, and present a notion of exact arbitrage, strictly weaker than the more conventional notion of asymptotic arbitrage, and necessary and sufficient for the validity of an APT pricing formula. Our formula involves essential risk, one based on a specific index portfolio constructed from factors and factor loadings that are endogenously extracted to satisfy an optimality property involving a finite number of factors. We illustrate how our results can be translated to markets with a large but finite number of assets. (C) 2003 Elsevier Science (USA). All rights reserved.