Results 111 to 120 of about 53,498 (290)
On the mean-standard deviation frontier [PDF]
This paper presents a characterization of the mean standard deviation frontier (MSF) in terms of pricing and averaging securities and explores the geometry of these securities relative to the geometry of the MSF.
Eneas A. Caldiño
core
Betting on momentum in contests
Economic Inquiry, EarlyView.Abstract With unprecedented access to volumes and prices of state‐contingent claims by a major bookmaker, second‐by‐second in‐play football betting markets, we study what happens after major breaking news. We focus on what might look like a shift in momentum to a bettor: equalizing goals. Immediately after this news breaks, the volume of claims sold on
Marius Ötting +3 more
wiley +1 more source
Neural Networks Principal Component Analysis for estimating the generative multifactor model of returns under a statistical approach to the Arbitrage Pricing Theory. Evidence from the Mexican Stock Exchange [PDF]
, 2019 Rogelio Ladrón de Guevara Cortés +2 more
openalex +1 more source
On the Time-Varying Structure of the Arbitrage Pricing Theory using the Japanese Sector Indices
, 2023 Koichiro Moriya, Akihiko Noda
openalex +2 more sources
The Economic History Review, EarlyView.Abstract Sustained long‐distance trade in the early modern era necessitated institutional mechanisms capable of solving three interrelated challenges: the need to mobilize an unprecedented volume of capital and to lock it in for long periods of time, ways of mitigating the principal–agent problem across continents, and methods to internalize and ...
Juan José Rivas Moreno
wiley +1 more source
Estudio de un portafolio en la frontera de media-desviación estándar no observable
Análisis Económico, 2005 En este artículo se demuestra que si un portafolio p está en la frontera generada por N instrumentos financieros, entonces el portafolio p está en la frontera generada por cualquier subconjunto de M (M < N) de los N instrumentos financieros y el mismo ...
Eneas A. Caldiño García
doaj
Revista Finanzas y Política Económica, 2021 This paper compares the dimension reduction or feature extraction techniques, e.g., Principal Component Analysis, Factor Analysis, Independent Component Analysis and Neural Networks Principal Component Analysis, which are used as techniques for ...
Rogelio +2 more
doaj
Asset Pricing - A Brief Review [PDF]
I first introduce the early-stage and modern classical asset pricing and portfolio theories. These include: the capital asset pricing model (CAPM), the arbitrage pricing theory (APT), the consumption capital asset pricing model (CCAPM), the intertemporal
Li, Minqiang
core +1 more source
China inside out: Explaining silver flows in the triangular trade, c. 1820s‒70s
The Economic History Review, EarlyView.Abstract This paper analyses a new large dataset of silver prices, as well as silver and merchandise trade flows in and out of China in the crucial decades of the mid‐nineteenth century when the Empire was opened to world trade. Silver flows were associated with the interaction between heterogeneous monetary preferences and availability of specific ...
Alejandra Irigoin +2 more
wiley +1 more source
A General Equilibrium Financial Asset Economy with Transaction Costs and Trading Constraints [PDF]
This paper presents a unified framework for examining the general equilibrium effects of transactions costs and trading constraints on security market trades and prices.
Edwin Neave, Frank Milne
core