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    Reference Work Entry In depth

    Arbitrage Pricing Theory

    Focusing on asset returns governed by a factor structure, the APT is a one-period model, in which preclusion of arbitrage over static portfolios of these assets leads to a linear relation between the expected ...

    Gur Huberman, Zhenyu Wang in The New Palgrave Dictionary of Economics (2018)

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    Reference Work Entry At a glance

    Arbitrage Pricing Theory

    The arbitrage pricing theory (APT) was developed primarily by Ross (1976a; 1976b). It is a one-period model in which every investor believes that the stochastic properties of returns of capital assets are cons...

    Gur Huberman, Zhenyu Wang in The New Palgrave Dictionary of Economics (2008)

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    Living Reference Work Entry In depth

    Arbitrage Pricing Theory

    Focusing on asset returns governed by a factor structure, the APT is a one-period model, in which preclusion of arbitrage over static portfolios of these assets leads to a linear relation between the expected ...

    Gur Huberman, Zhenyu Wang in The New Palgrave Dictionary of Economics

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    Article

    Defined Contribution Pension Plans: Determinants of Participation and Contributions Rates

    Records of 793,794 employees eligible to participate in 647 defined contribution pension plans are studied. About 71% of them choose to participate in the plans, and of the participants, 12% choose to contribu...

    Gur Huberman, Sheena S. Iyengar, Wei Jiang in Journal of Financial Services Research (2007)

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    Chapter

    Arbitrage Pricing Theory

    The Arbitrage Pricing Theory (APT) is due to Ross (1976a, 1976b). It is a one period model in which every investor believes that the stochastic properties of capital assets’ returns are consistent with a facto...

    Gur Huberman in Finance (1989)

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    Article

    On the core and nucleolus of minimum cost spanning tree games

    We develop two efficient procedures for generating cost allocation vectors in the core of a minimum cost spanning tree (m.c.s.t.) game. The first procedure requires O(n 2) elementary opera...

    Daniel Granot, Gur Huberman in Mathematical Programming (1984)

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    Article

    Error bounds for the aggregated convex programming problem

    Applied mathematical programming problems are often approximations of larger, more detailed problems. One criterion to evaluate an approximating program is the magnitude of the difference between the optimal o...

    Gur Huberman in Mathematical Programming (1983)

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    Article

    Minimum cost spanning tree games

    We consider the problem of cost allocation among users of a minimum cost spanning tree network. It is formulated as a cooperative game in characteristic function form, referred to as a minimum cost spanning tr...

    Daniel Granot, Gur Huberman in Mathematical Programming (1981)

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    Chapter and Conference Paper

    The nucleolus and the essential coalitions

    Gillies [1959] showed that the core of a game depends only on the vital coalitions. We show that the essential coalitions—which include the vital coalitions—determine the nucleolus if the core is not empty.

    Gur Huberman in Analysis and Optimization of Systems (1980)

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    Article

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    Gur Huberman, Mamoru Kaneko, Kensaku Kikuta… in International Journal of Game Theory (1979)