Add to ORKGThe no-arbitrage based proofs of the Arbitrage Pricing Theory (APT) require that a zero investment, zero factor risk portfolio—the arbitrage portfolio—must yield a zero payoff. This condition is not valid in a finite economy where zero factor risk is not synonymous with zero total risk. As a result the pricing equation of APT holds only approximately in finite economies. This paper presents an alternative definition of no-arbitrage to derive an exact pricing equation in finite economies. Preliminary. Comments are welcome. Please do not quote. I would like to thank Charles Trzcinka and K. C. John Wei for helpful comments on previous drafts of this paper. Arbitrage Pricing in a Finite Economy
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URL des Documents de travail : http://ces.univ-paris1.fr/cesdp/cesdp2017.htmlDocuments de travail du...
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We extend the fundamental theorem of asset pricing to the case of markets with liquidity risk. Our r...
We prove a version of the Fundamental Theorem of Asset Pricing, which applies to Kabanov's approach ...
The classic approach to modeling financial markets consists of four steps. First, one fixes a curren...
This paper develops a framework for a general equilibrium analysis of asset markets when the number ...
URL des Documents de travail : http://ces.univ-paris1.fr/cesdp/cesdp2017.htmlDocuments de travail du...
We consider an incomplete market model where asset prices are modelled by Ito processes, and derive ...
Arbitrage Theory provides the foundation for the pricing of financial derivatives and has become ind...
We derive an exact deviation for an individual asset from APT Pricing in a finite economy within the...
This paper develops a framework for a general equilibrium analysis of asset markets when the number ...
The theory of asset pricing takes its roots in the Arrow-Debreu model (see,for instance, Debreu 1959...
We provide a critical analysis of the proof of the fundamental theorem of asset pricing given in the...
This paper reevaluates the mathematical and economic meaning of no arbitrage in frictionless markets...
The paper derives fundamental arbitrage pricing results in finite dimensions in a simple unified fra...
Several authors have pointed out the possible absence of martingale measures for static arbitrage fr...
In an economy with a non-atomic measure space of assets and exchangeable risks, the Arbitrage Pricin...
We extend the fundamental theorem of asset pricing to the case of markets with liquidity risk. Our r...
We prove a version of the Fundamental Theorem of Asset Pricing, which applies to Kabanov's approach ...
The classic approach to modeling financial markets consists of four steps. First, one fixes a curren...