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Huberman, Gur

A simple approach to arbitrage pricing theory. (English) Zbl 0519.90017

J. Econ. Theory 28, 183-191 (1982).
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Cited in 29 Documents

MSC:

91B28 Finance etc. (MSC2000)

Keywords:

arbitrage theory of capital asset pricing; arbitrage portfolio; expected utility maximizer
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\textit{G. Huberman}, J. Econ. Theory 28, 183--191 (1982; Zbl 0519.90017)
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References:

[1] Chamberlain, G; Rothchild, M, Arbitrage and Mean-variance analysis of large asset markets, (1980), University of Wisconsin-Madison, mimeo
[2] Chen, Nai-Fu, Empirical evidence of the arbitrage pricing theory, (1980), UCLA, mimeo
[3] Chen, Nai-Fu, The arbitrage pricing theory: estimation and applications, (1980), UCLA, mimeo
[4] Connor, G, Asset prices in a well-diversified economy, ()
[5] Kwon, Y, Counterexaples to ross’ arbitrage asset pricing model, (1980), University of Kansas, mimeo
[6] Kwon, Y, On the negligibility of diversifiable risk components at the capital market equilibrium, (1980), University of Kansas, mimeo
[7] Roll, R, A critique of the asset pricing Theory’s tests: part I: on past and potential testability of the theory, Financial econ., 4, 129-179, (1977)
[8] Roll, R; Ross, S, An empirical investigation of the arbitrage pricing theory, J. finance, 35, 1073-1103, (1980)
[9] S. Ross, “The General Validity of the Mean-Variance Approach in Large Markets,” Discussion Paper No. 12-72, Rodney L. White Center for Financial Research, University of Pennsylvania.
[10] Ross, S, Return, risk and arbitrage, ()
[11] Ross, S, The arbitrage theory of capital asset pricing, J. econ. theory, 13, No. 3, 341-360, (1976)
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.