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Arbitrage and equilibrium with exchangeable risks

Author

Listed:
  • HEIFETZ, Aviad

    (The School of Economics, Tel Aviv University)

  • MINELLI, Enrico

    (Dipartimento di Scienze Economiche, Universita di Brescia)

  • POLEMARCHAKIS, Heracles

    (Center for Operations Research and Econometrics (CORE), Université catholique de Louvain (UCL), Louvain la Neuve, Belgium)

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.

Suggested Citation

  • HEIFETZ, Aviad & MINELLI, Enrico & POLEMARCHAKIS, Heracles, 1999. "Arbitrage and equilibrium with exchangeable risks," LIDAM Discussion Papers CORE 1999046, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Handle: RePEc:cor:louvco:1999046
    as

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    File URL: https://sites.uclouvain.be/core/publications/coredp/coredp1999.html
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    References listed on IDEAS

    as
    1. Stephen A. Ross, 2013. "The Arbitrage Theory of Capital Asset Pricing," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 1, pages 11-30, World Scientific Publishing Co. Pte. Ltd..
    2. Ross, Stephen A, 1978. "A Simple Approach to the Valuation of Risky Streams," The Journal of Business, University of Chicago Press, vol. 51(3), pages 453-475, July.
    3. Malinvaud, E, 1973. "Markets for an Exchange Economy with Individual Risks," Econometrica, Econometric Society, vol. 41(3), pages 383-410, May.
    4. Gilles, Christian & LeRoy, Stephen F, 1991. "On the Arbitrage Pricing Theory," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 1(3), pages 213-229, July.
    5. Cass, David & Chichilnisky, Graciela & Wu, Ho-Mou, 1996. "Individual Risk and Mutual Insurance," Econometrica, Econometric Society, vol. 64(2), pages 333-341, March.
    6. Kenneth J. Arrow & Robert C. Lind, 1974. "Uncertainty and the Evaluation of Public Investment Decisions," Palgrave Macmillan Books, in: Chennat Gopalakrishnan (ed.), Classic Papers in Natural Resource Economics, chapter 3, pages 54-75, Palgrave Macmillan.
    7. Al-Najjar, Nabil Ibraheem, 1995. "Decomposition and Characterization of Risk with a Continuum of Random Variables," Econometrica, Econometric Society, vol. 63(5), pages 1195-1224, September.
    8. Al-Najjar, Nabil I., 1999. "On the robustness of factor structures to asset repackaging," Journal of Mathematical Economics, Elsevier, vol. 31(3), pages 309-320, April.
    9. Cass, David & Shell, Karl, 1983. "Do Sunspots Matter?," Journal of Political Economy, University of Chicago Press, vol. 91(2), pages 193-227, April.
    10. KHAN, M. Ali & SUN, Yeneng, 1997. "On the decomposition and characterization of risk," LIDAM Discussion Papers CORE 1997038, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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    More about this item

    Keywords

    arbitrage; exchangeability;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets

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