Results 181 to 190 of about 2,645 (213)
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Arbitrage Pricing Theory in Ergodic Markets
SSRN Electronic Journal, 2017Traditional approaches to Arbitrage Pricing Theory (APT) propose a factor model, but empirical applications of APT are, nowadays, based on seemingly unrelated regression. I drop the factor model and assume only that the market is ergodic. This enables me to apply the theory of Hilbert spaces in a natural way.
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Economics Letters, 1987
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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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2018
This chapter studies the modifications needed due to the introduction of trading constraints in the arbitrage pricing theory of the fundamental theorems Chap. 2. Most, but not all of the three fundamental theorems of asset pricing extend with trading constraints.
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This chapter studies the modifications needed due to the introduction of trading constraints in the arbitrage pricing theory of the fundamental theorems Chap. 2. Most, but not all of the three fundamental theorems of asset pricing extend with trading constraints.
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1996
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Jensen, B. A., Nielsen, J. A.
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Jensen, B. A., Nielsen, J. A.
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Asset Pricing III: Arbitrage-Based Pricing
2019This chapter develops a arbitrage-based pricing model in which the extent to which the stochastic discount factor varies is unrestricted.
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Mathematical Social Sciences, 1996
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Derivatives and arbitrage pricing
2011A financial derivative is a contract whose value depends on one or more securities or assets, called underlying assets. Typically the underlying asset is a stock, a bond, a currency exchange rate or the quotation of commodities such as gold, oil or wheat.
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1995
Die Arbitrage Pricing Theory (APT) wurde von Ross (1976, 1977) als testbare Alternative zum Capital Asset Pricing Model (CAPM) entwickelt und war wiederholt Gegenstand zahlreicher theoretischer4 und empirischer5 Arbeiten. Alle Modellvarianten der APT basieren auf einer Grundannahme: die Renditen riskanter Wertpapiere werden durch einen stochastischen ...
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Die Arbitrage Pricing Theory (APT) wurde von Ross (1976, 1977) als testbare Alternative zum Capital Asset Pricing Model (CAPM) entwickelt und war wiederholt Gegenstand zahlreicher theoretischer4 und empirischer5 Arbeiten. Alle Modellvarianten der APT basieren auf einer Grundannahme: die Renditen riskanter Wertpapiere werden durch einen stochastischen ...
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