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The three basic elements of the arbitrage pricing theory (APT) are the linear factor structure of asset returns, the nonexistence of asymptotic arbitrage opportunities, and the approximate linear pricing relation. This paper explores the necessary and sufficient conditions of the approximate...
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In this paper, we show the reason why the absence of asymptotic arbitrage opportunities in the sense of convergence in quadratic mean (ACQM) as defined in Huberman (1982) is only a necessary condition for an asset market equilibrium. For certain classes of risk-averting investors, a portfolio...
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