Traditional approaches to Arbitrage Pricing Theory (APT) propose a factor model, whereas empirical applications of APT …

An affine no-arbitrage asset pricing framework is developed that allows for agents to have rational but heterogeneous …

“Arbitrage CDOs” have recorded an explosive growth during the years before the outbreak of …

This paper studies the implications of arbitrage in a large asset market under conditions of (Knightian) uncertainty ….First, I adapt the notion of arbitrage to a market in which the assets' returns are affected by uncertainty across probability … sufficient conditions that let the approximation degenerates to the traditional Ross' arbitrage pricing theory are provided …

We use relative value to measure limits to arbitrage in fixed-income markets. Relative value captures apparent … deviations from no-arbitrage relationships. It is simple, intuitive and can be computed model-free for any bond. A pseudo … therefore a better proxy for limits to arbitrage. We construct relative value indices for the US, UK, Japan, Germany, Italy …

price processes in a frictionless, continuous trading market under a no arbitrage equilibrium. These results are not …. This paper shows that, for strongly Markov processes, the inadmissible class is empty. Hence the no-arbitrage equilibrium …

a no-arbitrage constraint. Under a multivariate elliptical distribution assumption, we present explicit expressions for … the HJ-distance with a no-arbitrage constraint, the associated Lagrange multipliers, and the SDF parameters in the case of … linear SDFs. This allows us to analyze the benefits and costs of using the HJ-distance with a no-arbitrage constraint to rank …

Focusing on capital asset returns governed by a factor structure, the Arbitrage Pricing Theory (APT) is a one …-period model, in which preclusion of arbitrage over static portfolios of these assets leads to a linear relation between the … expected return and its covariance with the factors. The APT, however, does not preclude arbitrage over dynamic portfolios …

I generalize the textbook arbitrage-pricing framework to characterize how uninformative flows generate price impacts … derive this model, I generalize Ross arbitrage pricing theory to flows. I also obtain several useful theoretical results …