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Yu An

Institution

Johns Hopkins University

PhD Year

2019

yua@jhu.edu

FTG Membership

Member

Website

https://sites.google.com/view/yu-an

Featured Work

Jul 30, 2025

Yu An

An Arbitrage Foundation for Demand Effects in Asset Pricing

Demand for any of N assets can influence every other price, generating N^2 cross-impact slopes. Which interactions are determined by economic first principles and which reflect investor behavior? Using no arbitrage alone—without needing to specify a particular equilibrium—a new "Irrelevance of Uncorrelated Portfolios" axiom is necessary and sufficient to isolate N factor portfolios whose demand moves only its own price of risk, collapsing the description...

May 1, 2023

Yu An | Working Paper No. 00099-00

Flow-Based Arbitrage Pricing Theory

I introduce a new approach, model, and definition for analyzing demand effects in asset pricing. My approach generalizes arbitrage pricing, and avoids making any parametric assumptions on utility function and payoff distribution, which are commonly found in equilibrium literature. My approach also reveals and relaxes an unrealistic cross-sectional restriction on price impacts in the literature's quadratic-normal setup. In my model, price impacts between underlying assets...