Asymptotic arbitrage and the APT with or without measure-theoretic structures

Article Abstract:

Research into a suitable domain of assets in which there is a precise, rather than approximate, pricing of 'most' of the assets is presented. It is demonstrated that a finite factor structure and the lack of asymptotic arbitrage in the framework of large but finite asset portfolios selected from such a market give a pricing formula in which the square of the deviations of the rates of return from the arbitrage pricing theory factor pricing formula add up to a finite number.

Research

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

Article Abstract:

A notion of exact arbitrage is presented to formalize 'well diversified' portfolios for a market, which is necessary and sufficient for the validity of an arbitrage pricing theory (APT) pricing formula. The formula involves 'essential' risks based on specific index portfolio constructed from finite numbers of factor and factor loadings, which are endogenously extracted to satisfy an optimality property.

United States, Models, Product price

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The exact law of large numbers via Fubini extension and characterization of insurable risks

Article Abstract:

Application of Fubini's extension for modeling of uncorrelatedness and independence of insurable risks in rich product probability space, based on exact law of large numbers, for measuring Pareto optimality and equilibrium, is described.

Singapore, Analysis, Usage, Measurement, Mathematical models, Probabilities, Probability theory, Equilibrium (Economics), Correlation (Statistics)

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