Results 151 to 160 of about 6,903 (211)
The Market for Monoclonal Antibodies: Trends, Challenges, and Opportunities. [PDF]
BioDrugsMotta-Santos AS +5 more
europepmc +1 more source
Pricing by hedging and no-arbitrage beyond semimartingales
Finance and Stochastics, 2008 The authors construct a class of strategies for possibly non-semimartingale models that have the same quadratic variation as the Black-Scholes model or, more generally, as Brownian models with local volatility structures. It is shown that the aforementioned class of allowed strategies is free of arbitrage for a large class of non-semimartingale models,
Tommi Sottinen, Esko Valkeila
exaly +5 more sources
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No Arbitrage and Arbitrage Pricing: A New Approach
The Journal of Finance, 1993ABSTRACTWe argue that arbitrage‐pricing theories (APT) imply the existence of a low‐dimensional nonnegative nonlinear pricing kernel. In contrast to standard constructs of the APT, we do not assume a linear factor structure on the payoffs. This allows us to price both primitive and derivative securities.
Bansal, Ravi, Viswanathan, S
openaire +1 more source
2008
Focusing on capital asset returns governed by a factor structure, the Arbitrage Pricing Theory (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 return and its covariance with the factors.
Gur Huberman, Zhenyu Wang
openaire +4 more sources
Focusing on capital asset returns governed by a factor structure, the Arbitrage Pricing Theory (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 return and its covariance with the factors.
Gur Huberman, Zhenyu Wang
openaire +4 more sources
The arbitrage pricing theorem with incomplete preferences [PDF]
Mathematical Social Sciences, 2007 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
David Kelsey, Erkan Yalcin
exaly +2 more sources
1996
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jensen, B. A., Nielsen, J. A.
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zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jensen, B. A., Nielsen, J. A.
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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
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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
Arbitrage Involvement and Security Prices
Management Science, 2019We propose that hedge funds more aggressively buy underpriced stocks when they are allowed to short. To test our proposition, we utilize the institutional feature in Hong Kong in virtue of which only stocks added to a special list can be shorted.
Byoung-Hyoun Hwang, Baixiao Liu, Wei Xu
openaire +1 more source