Results 1 to 10 of about 107,784 (157)
The arbitrage pricing theory (APT) attributes differences in expected returns to exposure to systematic risk factors. Two aspects of the APT are considered.
M. Pesaran, Ron P. Smith
semanticscholar +1 more source
Risk-Neutral Pricing for Arbitrage Pricing Theory
We consider infinite-dimensional optimization problems motivated by the financial model called Arbitrage Pricing Theory. Using probabilistic and functional analytic tools, we provide a dual characterization of the superreplication cost. Then, we show the
L. Carassus, M. Rásonyi
semanticscholar +1 more source
Empirical Test of the Arbitrage Pricing Theory Based on the Downside Risk(D-APT) in the Tehran Stock Exchange [PDF]
Extended Abstract Arbitrage pricing theory presented by Ross is based on theory of the absence of arbitrage opportunities in financial market and its main condition is the existence of a linear relationship between the actual return and a set of common ...
Moslem Moradzadeh+2 more
doaj +1 more source
Pointwise Arbitrage Pricing Theory in Discrete Time [PDF]
We develop a robust framework for pricing and hedging of derivative securities in discrete-time financial markets. We consider markets with both dynamically and statically traded assets and make minimal measurability assumptions.
Matteo Burzoni+4 more
semanticscholar +1 more source
Coherent-Price Systems and Uncertainty-Neutral Valuation
This paper considers fundamental questions of arbitrage pricing that arises when the uncertainty model incorporates ambiguity about risk. This additional ambiguity motivates a new principle of risk- and ambiguity-neutral valuation as an extension of the ...
Patrick Beissner
doaj +1 more source
Semi-parametric Model of Idiosyncratic Volatility Pricing by Explaining the Arbitrage Risk [PDF]
Objective: The relationship between idiosyncratic volatility and expected return in finance has become a puzzle. While, based on modern portfolio theory, the relationship between risk and expected return is positive, many studies find a negative ...
Mehdi Asima, Reza Eyvazloo
doaj +1 more source
Asset pricing in global scenario: a bibliometric analysis [PDF]
Purpose – This study aims to organise and present the development of asset pricing models in the international environment. The stock market integration and cross-listing lead us to another objective of bibliometric analysis for “International Asset ...
Aditya Keshari, Amit Gautam
doaj +1 more source
The formulation of the problem in this study was how the accuracy of the Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT) in Determining the Choice of Investing in the Jakarta Islamic Index (JII).
Ervita Safitri+2 more
semanticscholar +1 more source
Persistence in the performance of South African unit trusts
The persistence of performance of the General Equity Unit Trusts and All Unit Trusts that traded in South Africa during the period January 1988 to December 1997 and January 1993 to December 1997, is analysed using three models of performance measurement,
J. F.C. Von Wielligh, E. V.D.M. Smit
doaj +1 more source
Valuation of Government Bonds: the Exchange Rate Is an Important Aspect
Interest rates are currently very low in the countries. In these countries bonds are issued with low or negative yields. In this paper, I empirically investigate the factors that affect the price of bonds.
Blanka Francová
doaj +1 more source