Arbitrage and equilibrium with exchangeable risks

Aviad Heifetz, Enrico Minelli and Heracles Polemarchakis
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Aviad Heifetz: The School of Economics, Tel Aviv University
Heracles Polemarchakis: Center for Operations Research and Econometrics (CORE), Université catholique de Louvain (UCL), Louvain la Neuve, Belgium

No 1999046, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: In an economy with a non-atomic measure space of assets and exchangeable risks, the Arbitrage Pricing Theory (APT) holds exactly; and factors are structurally specified, which allows for an economic interpretation.

Keywords: arbitrage; exchangeability (search for similar items in EconPapers)
JEL-codes: D52 G12 (search for similar items in EconPapers)
Date: 1999-08-01
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Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:1999046

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