Open markets
Open markets
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DOI：
10.1111/mafi.12294
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发表时间：
2020-10-31
影响因子：
1.6
通讯作者：
Kim, Donghan
中科院分区：
文献类型：
--
作者：
Karatzas, Ioannis;Kim, Donghan
公开市场是一个更大的股票市场的一个子集，由一定数量的顶级市值股票组成。虽然公开市场上的股票数量是固定的，但它们的构成会随着时间的推移而变化，因为每家公司的市值排名都会波动。当人们也被允许投资于货币市场时，开放市场类似于整个“封闭”的股票市场，因为市场的可行性（缺乏套利）相当于存在一个计价单位投资组合（其表现无法超越）。当进入货币市场被禁止时，在公开市场上的投资组合类显着收缩;在这样的设置中，我们讨论了资本资产定价模型，如何构建功能生成的投资组合，以及通用投资组合的概念。
An open market is a subset of a larger equity market, composed of a certain fixed number of top-capitalization stocks. Though the number of stocks in the open market is fixed, their composition changes over time, as each company's rank by market capitalization fluctuates. When one is allowed to invest also in a money market, an open market resembles the entire "closed" equity market in the sense that the market viability (lack of arbitrage) is equivalent to the existence of a numeraire portfolio (which cannot be outperformed). When access to the money market is prohibited, the class of portfolios shrinks significantly in open markets; in such a setting, we discuss the Capital Asset Pricing Model, how to construct functionally generated portfolios, and the concept of universal portfolio.