Spanning with Index Options

Jin-Chuan Duan, Arthur F. Moreau and C. W. Sealey

Journal of Financial and Quantitative Analysis, 1992, vol. 27, issue 2, 303-309

Abstract: Current literature stresses that efficient funds do not exist when asset returns are continuously distributed. This paper shows that the existence of efficient funds can be restored if security returns are generated by a linear factor model.

Date: 1992
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