Results 131 to 140 of about 891 (167)
Some of the next articles are maybe not open access.
Asset Pricing with Arbitrage Activity
SSRN Electronic Journal, 2013We study an economy populated by three groups of myopic agents: constrained agents subject to a portfolio constraint that limits their risk taking, unconstrained agents subject to a standard nonnegative wealth constraint, and arbitrageurs with access to a credit facility.
Julien Hugonnier, Rodolfo Prieto
openaire +1 more source
1999
The ‘unreasonable effectiveness’ of mathematics is evidenced by the frequency with which mathematical techniques that were developed without thought for practical applications find unexpected new domains of applicability in various spheres of life. This phenomenon has customarily been observed in the physical sciences; in the social sciences its impact
Robert J. Elliott, P. Ekkehard Kopp
openaire +1 more source
The ‘unreasonable effectiveness’ of mathematics is evidenced by the frequency with which mathematical techniques that were developed without thought for practical applications find unexpected new domains of applicability in various spheres of life. This phenomenon has customarily been observed in the physical sciences; in the social sciences its impact
Robert J. Elliott, P. Ekkehard Kopp
openaire +1 more source
1987
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 factor structure. Ross argues that if equilibrium prices offer no arbitrage opportunities, then the expected returns on these capital assets are ...
openaire +2 more sources
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 factor structure. Ross argues that if equilibrium prices offer no arbitrage opportunities, then the expected returns on these capital assets are ...
openaire +2 more sources
The Arbitrage Pricing Theory and Supershares
The Journal of Finance, 1989ABSTRACTIn a single‐period model with options on the market portfolio, linear factor pricing holds if and only if the variance of the market conditional on the factors is zero. There is no need for factors other than nonlinear functions of the market.
openaire +1 more source
The Arbitrage Pricing Theory: Is it Testable?
The Journal of Finance, 1982ABSTRACTThis paper challenges the view that the Arbitrage Pricing Theory (APT) is inherently more susceptible to empirical verification than the Capital Asset Pricing Model (CAPM). The usual formulation of the testable implications of the APT is shown to be inadequate, as it precludes the very expected return differentials which the theory attempts to ...
openaire +1 more source
1998
Abstract The chapter starts with a detailed discussion of the bank account in discrete and continuous time. The Black–Scholes model is then introduced, and using the principle of no arbitrage we study the problem of pricing an arbitrary financial derivative within this model. Using the classical delta hedging approach we derive the Black–
openaire +1 more source
Abstract The chapter starts with a detailed discussion of the bank account in discrete and continuous time. The Black–Scholes model is then introduced, and using the principle of no arbitrage we study the problem of pricing an arbitrary financial derivative within this model. Using the classical delta hedging approach we derive the Black–
openaire +1 more source
1997
Abstract This chapter deals with two fundamental insights about the relationship among asset returns. First, an asset may have state-contingent pay-offs that can also be obtained by forming an appropriate portfolio of other assets.
Jürgen Eichberger, Ian R Harper
openaire +1 more source
Abstract This chapter deals with two fundamental insights about the relationship among asset returns. First, an asset may have state-contingent pay-offs that can also be obtained by forming an appropriate portfolio of other assets.
Jürgen Eichberger, Ian R Harper
openaire +1 more source
Economics Letters, 1987
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire +2 more sources
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire +2 more sources
Approximate Arbitrage: The Arbitrage Pricing Technique
1991This chapter extends the concept of arbitrage to encompass approximate arbitrage and develops the arbitrage pricing technique (or APT); this may be interpreted as a generalisation of the version of the CAPM developed in Chapter 3.
openaire +1 more source
On the arbitrage pricing theory
Economic Theory, 1991zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Gilles, Christian, LeRoy, Stephen F.
openaire +1 more source