Results 161 to 170 of about 6,903 (211)
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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 ...
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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 ...
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On Stablecoin Price Processes and Arbitrage
2021This study applies the Caginalp and Balenovic (1999) model for asset flow dynamics to fully collateralized stablecoins. The analysis provides novel insights on how trend-reversion and reactions to peg deviations work together to keep stablecoin prices close to the price they are targeting.
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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.
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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–
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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–
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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 ...
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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.
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On a Semigroup Approach to No-arbitrage Pricing Theory
1999We show that the second order operator characterizing no-arbitrage pricing problems generates an Analytic Semigroup and therefore the Cauchy problem defining the no-arbitrage price of contingent claim contracts admits a solution. The conditions established in this paper are quite general, they encompass the sets of sufficient conditions already ...
E. BARUCCI, F. GOZZI, VESPRI, VINCENZO
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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
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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
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On the arbitrage pricing theory
Economic Theory, 1991zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Gilles, Christian, LeRoy, Stephen F.
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Arbitrage and Pricing with Collateral
2001This work presents the implications of the absence of arbitrage in a two period incomplete markets economy where default is allowed, but it is required that all the assets be backed by a collateral bundle. This collateral can be exogenously given or can be determined by the sellers of assets, as in the Collateralized Mortgage Obligation (CMO) markets ...
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