Results 121 to 130 of about 107,784 (157)

Dynamic Asset Pricing Theory

, 1992
"Dynamic Asset Pricing Theory" is a textbook for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three increasingly restrictive
D. Duffie
semanticscholar   +1 more source

Arbitrage Pricing Theory

Continuous-Time Asset Pricing Theory, 2021
R. Jarrow
semanticscholar   +1 more source

The Arbitrage Pricing Theory Approach to Strategic Portfolio Planning

, 1984
The well-known capital asset pricing model asserts that only a single number—an asset's "beta" against the market index—is required to measure risk.
Richard Roll, S. Ross
semanticscholar   +1 more source

Arbitrage Pricing Theory and Utility Stock Returns

, 1984
This paper presents some new evidence that Arbitrage Pricing Theory may lead to different and better estimates of expected return than the Capital Asset Pricing Model, particularly in the case of utility stock returns.
Dorothy H. Bower, R. Bower, D. Logue
semanticscholar   +1 more source

The Arbitrage Pricing Theory: Some Empirical Results

, 1981
THE ACCUMULATION of empirical evidence inconsistent with the simple oneperiod capital asset pricing models of Sharpe (1964), Lintner (1965), and Black (1972) indicates that alternative models of capital market equilibrium deserve investigation. A minimum
Marc R. Reinganum
semanticscholar   +1 more source

The Arbitrage Pricing Theory: Is It Testable?

, 1982
This paper challenges the view that the Arbitrage Pricing Theory (APT) is inherently more susceptible to empirical verification than the Capital Asset Pricing Model (CAPM).
Jay Shanken
semanticscholar   +1 more source

A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory: A Reply

, 1984
THE PAPER BY Dhrymes, Friend, and Gultekin (DFG) in this issue criticizes empirical work on the Arbitrage Pricing Theory (APT) conducted by ourselves, (RR [3]), and by a number of others.
Richard Roll, S. Ross
semanticscholar   +1 more source

The arbitrage theory of capital asset pricing

, 1976
S. Ross
semanticscholar   +1 more source

Macroeconomic Forces and Arbitrage Pricing Theory

, 2017
J. French
semanticscholar   +1 more source

Mean‐ portfolio selection and ‐arbitrage for coherent risk measures

Mathematical Finance, 2022
Nazem Khan, Martin Herdegen
exaly