| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w0996 |
| 来源ID | Working 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 |
| URL | https://www.nber.org/papers/w0996 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/558215 |
| 推荐引用方式 GB/T 7714 | Gary Chamberlain,Michael Rothschild. Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets. 1982. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w0996.pdf（441KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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