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Guaranteed minimum withdrawal benefits with high-water mark fee structure. [PDF]
PLoS OneHan Y, Wu L, Li D, Han J.
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EVA-centric QUBO optimization for active and reactive power coordination in DLMP-driven distribution systems. [PDF]
Sci RepSuri V +5 more
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Low carbon optimization for wind integrated power systems with carbon capture and energy storage under carbon pricing. [PDF]
Sci RepMeng Q +4 more
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Operation strategy and capacity configuration of digital renewable energy power station with energy storage. [PDF]
HeliyonWu J, Xue L, Zheng Y, Zhang J, Li Q.
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Factor-based deep reinforcement learning for asset allocation: Comparative analysis of static and dynamic beta reward designs. [PDF]
PLoS OneJung NH, Oh T.
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The arbitrage theory of capital asset pricing
Journal of Economic Theory, 1976Examines the arbitrage model of capital asset pricing as an alternative to the mean variance capital asset pricing model introduced by Sharpe, Lintner and Treynor. Overview of the arbitrage theory; Role of the arbitrage model in explaining phenomena observed in capital markets for risky assets; Influence of the presence of noise on the pricing relation.
Stephen A Ross
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2008
Focusing on capital asset returns governed by a factor structure, the Arbitrage Pricing Theory (APT) is a one-period model, in which preclusion of arbitrage over static portfolios of these assets leads to a linear relation between the expected return and its covariance with the factors.
Gur Huberman, Zhenyu Wang
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Focusing on capital asset returns governed by a factor structure, the Arbitrage Pricing Theory (APT) is a one-period model, in which preclusion of arbitrage over static portfolios of these assets leads to a linear relation between the expected return and its covariance with the factors.
Gur Huberman, Zhenyu Wang
openaire +4 more sources