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Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
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Publications
Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
GC
Gary Chamberlain
Gary Chamberlain
MR
Michael Rothschild
Michael Rothschild
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1 September 1983
journal article
Published by
JSTOR
in
Econometrica
Vol. 51
(5)
,
1281
https://doi.org/10.2307/1912275
Abstract
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 ...
Keywords
MARKET
FACTOR STRUCTURE
ARBITRAGE
FUNCTIONALS
GIVE
MEAN VARIANCE ANALYSIS
All Related Versions
Version 1, RePEc (Unconfirmed version)
Version 1, RePEc (Unconfirmed version)
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Cited by 854 articles