Results 61 to 70 of about 6,903 (211)
A Benchmark Approach to Investing and Pricing [PDF]
This paper introduces a general market modeling framework, the benchmark approach, which assumes the existence of the numeraire portfolio. This is the strictly positive portfolio that when used as benchmark makes all benchmarked nonnegative portfolios ...
Eckhard Platen
core
Optimising Grid-Connected PV-Battery Systems for Energy Arbitrage and Frequency Containment Reserve
BatteriesThis study introduces a novel method for optimising the size and control strategy of grid-connected, utility-scale photovoltaic (PV) systems with battery storage aimed at energy arbitrage and frequency containment reserve (FCR) services.
Rodolfo Dufo-López +3 more
doaj +1 more source
Arbitrage theory in discrete time markets with bid-ask spread [PDF]
, 2023 openThis thesis studies the work of Przemysław Rola on the condition of no-arbitrage in a finite discrete time market with a money account (risk-free) and bid-ask spreads. In the first chapter, we introduce the mathematical model and we state the notions
TARGON, ALBERTO
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How to Test the Arbitrage Pricing Theory (APT) [PDF]
Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī, 2007 As a response to critiques about the capital asset pricing model (CAPM), Ross (1976) proposed Arbitrage Pricing Theory (APT) as an alternative model with fewer assumptions, and use of multi risk factors affecting assets prices instead of one.
Ghassem Mohsseni Demneh
doaj
Arbitrage in the FTSE 100 index futures
, 1998 This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University.This thesis presents five empirical papers investigating the issue of arbitrage trading of the FTSE 100 stock index futures.
Kalogeropoulou, J. +1 more
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Limit to Arbitrage and Distress Risk Puzzle in Vietnam: Does Corporate Bankruptcy Regulation Matter?
SAGE OpenThis study is the first to examine how limit-to-arbitrage factors impact the distress risk puzzle in Vietnam before and after implementing bankruptcy regulations.
Khoa Dang Duong +3 more
doaj +1 more source
Option-Pricing in Incomplete Markets: The Hedging Portfolio plus a Risk Premium-Based Recursive Approach [PDF]
Consider a non-spanned security C_{T} in an incomplete market. We study the risk/return trade-offs generated if this security is sold for an arbitrage-free price Câ‚€ and then hedged.
Alfredo Ibáñez
core +2 more sources
Infinitely many securities and the fundamental theorem of asset pricing [PDF]
Several authors have pointed out the possible absence of martingale measures for static arbitrage-free markets with an infinite number of available securities.
Anna Downarowicz, Alejandro Balbas
core
CAPM or APT? A Comparison of Two Asset Pricing Models for Malaysia
Malaysian Management Journal, 1999 This study uses monthly return data on 213 stocks listed on the main board of Kuala Lumpur Stock Exchange, Malaysia for the period September 1988 to June 1997 to compare two frequently cited asset pricing models: the capital asset pricing model, CAPM and
Cung Huck Khoon +2 more
doaj