G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w0996
来源IDWorking Paper 0996
Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
Gary Chamberlain; Michael Rothschild
发表日期1982-10-01
出版年1982
语种英语
摘要We examine the implications of arbitrage in a market with many assets. The absence of arbitrage opportunities implies that the linear functionals that give the mean and cost of a portfolio are continuous; hence there exist unique portfolios that represent these functionals. These portfolios span the mean-variance efficient set. We resolve the question of when a market with many assets permits so much diversification that risk-free investment opportunities are available. Ross 112, 141 showed that if there is a factor structure, then the mean returns are approximately linear functions of factor loadings. We define an approximate factor structure and show that this weaker restriction is sufficient for Ross' result. If the covariance matrix of the asset returns has only K unbounded eigenvalues, then there is an approximate factor structure and it is unique. The corresponding K eigenvectors converge and play the role of factor loadings. Hence only a principal component analysis is needed in empirical work.
主题Macroeconomics
URLhttps://www.nber.org/papers/w0996
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/558215
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GB/T 7714
Gary Chamberlain,Michael Rothschild. Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets. 1982.
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