Quiz III
- Suppose there are two states and three assets. The asset
return matrix is
\begin{equation*}
A=\begin{pmatrix} 1&0&2\\ 2&1&0
\end{pmatrix}.
\end{equation*}
Find all state prices, and asset prices such that the
no-arbitrage condition is satisfied.
-
Suppose there are three states and two assets.
\begin{equation*}
A=\begin{pmatrix} 1&0\\ 0&2\\ 1&1
\end{pmatrix}
\end{equation*}
Find all state prices, and asset prices such that the no-arbitrage
condition is satisfied.
-
Under what circumstances do asset prices uniquely define the
state price vector?
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