A note on transaction costs and the existence of derivatives markets

Article Abstract:

The idea of arbitrage pricing under transaction costs to the existence and structure of derivatives markets is addressed in this note. The "paradox" of pure arbitrage pricing via replicating portfolios and the existence of markets for redundant securities in a general multi-period model is illustrated.

United States, Derivatives (Financial instruments)

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On the performance of efficient portfolios

Article Abstract:

A study of the efficient portfolio performance in financial markets is presented. The market is comprised of heterogeneous investors made up of rational traders, noise traders and chartists. The portfolios of rational investors show mean-variance efficiency in the lines of CAPM.

Germany, Financial management, Methods, Usage, Company investment, Investments, Investors, Capital assets pricing model, Capital asset pricing model

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