Journal of Financial and Quantitative Analysis Vol. 27 No. 2 1992
Spanning with Index Options
Abstract
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.
- DOI
- 10.2307/2331373
- Volume
- 27
- Issue
- 2
- Pages
- 303
- Sources
- crossref openalex