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.

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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.

Securities, Money, Market share, Allocation (Accounting)

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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.

Asset & Risk Management, Markets (Economics), Equilibrium (Economics), Utility theory, Utility functions

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