Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/72034
Authors: 
Khan, M. Ali
Sun, Yeneng
Year of Publication: 
2002
Series/Report no.: 
Working Papers, The Johns Hopkins University, Department of Economics 484
Abstract: 
We provide a detailed portfolio analysis for a financial market with an atomless continuum of assets. In the context of an exact arbitrage pricing theory (EAPT), we go beyond the characterization of the existence of important portfolios (normalized riskless, mean, cost, factor and mean-variance efficient portfolios) to furnish exact portfolio compositions in terms of explicit portfolio weights. Such an analysis has not been furnished before in the context of the asymptotic arbitrage pricing theory (APT). We also characterize conditions under which a mean-variance efficient portfolio is a benchmark portfolio used in the EAPT to proxy essential risk. We illustrate our results with several examples of specific financial markets.
Subjects: 
exact arbitrage
portfolio weights
well-diversified portfolio
mean-variance efficient portfolio
mean
cost and factor portfolios
Loeb measure space
JEL: 
G12
C60
Document Type: 
Working Paper

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