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SPANNING WITH INDEX OPTIONS

delete1992-06-01
delete4
PRE
AI
J
Jin‐Chuan Duan *
A
Arthur F. Moreau
C
C. W. Sealey
DOI:10.2307/2331373delete
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摘要

摘要

En 中文
Current literature stresses that efficient funds do not exist when asset returns are continuously distributed. This paper shows that the existence of efficient funds can be restored if security returns are generated by a linear factor model.
Keyword:
CONTINGENT CLAIMS
MARKETS
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期刊

Journal of Financial and Quantitative Analysis 封面图
Journal of Financial and Quantitative Analysis
IF:
2.8
论文数:
2.3K
被引数:
1.0W

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