Results 1 to 10 of about 107,784 (157)

Arbitrage Pricing Theory, the Stochastic Discount Factor and Estimation of Risk Premia from Portfolios

open access: yesSocial Science Research Network, 2021
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

open access: yesJournal of Optimization Theory and Applications, 2020
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]

open access: yesپژوهش‌های مدیریت عمومی, 2017
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]

open access: yesMathematics of Operations Research, 2016
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

open access: yesRisks, 2019
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]

open access: yesتحقیقات مالی, 2020
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]

open access: yesIIM Ranchi Journal of Management Studies, 2023
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

PERBANDINGAN KEAKURATAN CAPITAL ASSETS PRICING MODEL (CAPM) DAN ARBITRAGE PRICING THEORY (APT) DALAM MENENTUKAN PILIHAN BERINVESTASI PADA SAHAM JAKARTA ISLAMIC INDEX (JII)

open access: yesJurnal Ilmu Manajemen, 2019
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

open access: yesSouth African Journal of Business Management, 2000
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

open access: yesActa Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2017
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

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