Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
收藏NBER1982-10-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w0996
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资源简介：
We examine the implications of arbitrage in a market with many assets. The absence of arbitrage opportunities implies that the linear functionals that give the mean and cost of a portfolio are continuous; hence there exist unique portfolios that represent these functionals. These portfolios span the
提供机构：
美国国家经济研究局
创建时间：
1982-10-01
