M
Michael Rothschild
Researcher at University of Wisconsin-Madison
Publications - 93
Citations - 20850
Michael Rothschild is an academic researcher from University of Wisconsin-Madison. The author has contributed to research in topics: Arbitrage pricing theory & Diversification (finance). The author has an hindex of 49, co-authored 93 publications receiving 20102 citations. Previous affiliations of Michael Rothschild include Harvard University & University of California, San Diego.
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Equilibrium in Competitive Insurance Markets: An Essay on the Economics of Imperfect Information
TL;DR: The authors analyzes competitive markets in which the characteristics of the commodities exchanged are not fully known to at least one of the parties to the transaction, and suggests that some of the most important conclusions of economic theory are not robust to considerations of imperfect information.
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Increasing risk: I. A definition
TL;DR: The authors tried to answer the question: When is a random variable Y "more variable" than another random variable X "less variable" by asking when a variable X is more variable than another variable Y.
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Increasing risk II: Its economic consequences
Posted Content
Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
TL;DR: In this paper, the authors examine the implications of arbitrage in a market with many assets and show that if the covariance matrix of the asset returns has only K unbounded eigenvalues then there is an approximate factor structure and it is unique.
ReportDOI
Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
TL;DR: In this article, the authors examine the implications of arbitrage in a market with many assets and show that the linear functionals that give the mean and cost of a portfolio are continuous; hence there exist unique portfolios that represent these functionals.