# On the robustness of factor structures to asset repackaging

Article Abstract:

A framework in studying asset repackaging in a large asset economy, which was modeled as an atomless measure space of assets, was provided. The main theorem shows that a repackaged economy can have strictly fewer factors than the original economy, although repackaging does not create new factors. Moreover, it was also shown that repackaging may eliminate a factor via the combination of negatively correlated risks to form a portfolio, which is free of that risk. Lastly, it was shown that factor structures are robust to asset repackaging.

Publication Name: The Journal of Mathematical Economics

Subject: Mathematics

ISSN: 0304-4068

Year: 1999

User Contributions:

Comment about this article or add new information about this topic:

# On the number of currencies needed to implement the complete asset market allocation

Article Abstract:

Uncertainty concerning the number of assets required to attain complete market allocation may be resolved using the limited number of traders simultaneously alive. In cases where the long-lived assets are currencies and there are at least as many currencies as types of agents, the complete market equilibrium could be implemented with less than the specific number of long-lived securities. For financial assets with well-defined returns, complete market allocation can only be implemented with tailor-made securities.

Publication Name: The Journal of Mathematical Economics

Subject: Mathematics

ISSN: 0304-4068

Year: 1999

User Contributions:

Comment about this article or add new information about this topic:

# Asset market equilibrium in Lp spaces with separable utilities

Article Abstract:

Equilibria are proved to exist in asset markets when utility functions represent preferences and consumption sets are defined.

Publication Name: The Journal of Mathematical Economics

Subject: Mathematics

ISSN: 0304-4068

Year: 2001

User Contributions:

Comment about this article or add new information about this topic:

- Abstracts: On the existence and the structure of the pseudo-equilibrium manifold. Some consequences of the unknottedness of the Walrus correspondence
- Abstracts: An intelligent business forecaster for strategic business planning. An intelligent model selection and forecasting system
- Abstracts: On the revelation of private information in stock market economies. The graphs of the Walras correspondence: the production economies case
- Abstracts: Comparing the accuracy of density forecasts from competing models. Robust evaluation of fixed-event forecast rationality
- Abstracts: A unified derivation of classical subjective expected utility models through cardinal utility. A new axiomatization of rank-dependent expected utility with tradeoff consistency for equally likely outcomes