Traditional approaches to Arbitrage Pricing Theory (APT) propose a factor model, whereas empirical applications of APT nowadays are based on seemingly unrelated regression. I drop the factor model and assume only that the market is ergodic. This enables me to apply the theory of Hilbert spaces...

We propose a solution to the Closed-End Fund Puzzle in financial markets without a free lunch with vanishing risk. Our results are consistent with both the time-series and the cross-sectional aspect of the Closed-End Fund Puzzle. It turns out that a closed-end fund cannot be created if the fund...