The Necessity of No Asymptotic Arbitrage in APT Pricing

Xiaoai Lin, Xia Liu and Yeneng Sun

Chapter 15 in Recent Developments in Mathematical Finance, 2001, pp 181-189 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractA typical APT type formula states that the square of the deviations of the individual rates of return from a factor-pricing formula sum to a finite number. The assumption of no asymptotic arbitrage is, in general, sufficient but not necessary for such an APT type formula to hold. Under certain additional assumptions on the residual risks, the desired necessity result can be obtained for a market with a countably infinite or an uncountably infinite number of assets.

Keywords: Proceedings; Conference; Mathematical Finance; Shanghai (China) (search for similar items in EconPapers)
Date: 2001
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789812799579_0015 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789812799579_0015 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789812799579_0015

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().