Results 201 to 210 of about 708 (257)

Hedging irrigated maize crop yields using temperature derivatives in Malawi. [PDF]

Heliyon
Dennis Chirwa PB, Dzupire NC.
europepmc   +1 more source

Essays on the arbitrage pricing theory

openaire   +1 more source

Risk-Neutral Pricing for Arbitrage Pricing Theory [PDF]

Journal of Optimization Theory and Applications, 2020
AbstractWe 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 existence of optimal strategies for investors maximizing their expected utility and the ...
Miklós Rásonyi, Laurence Carassus
exaly   +4 more sources

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arbitrage pricing theory

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
openaire   +4 more sources

The Arbitrage Pricing Theory

2015
Jean-Pierre Danthine
exaly   +2 more sources

Pointwise Arbitrage Pricing Theory in Discrete Time [PDF]

Mathematics of Operations Research, 2019
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. We obtain abstract (pointwise) fundamental theorem of asset pricing and pricing–hedging duality.
Matteo Burzoni, Jan Obłój, Marco Frittelli   +2 more
exaly   +8 more sources

On a Semigroup Approach to No-Arbitrage Pricing Theory

1999
We show that the second order operator characterizing no-arbitrage pricing problems generates an Analytic Semigroup and therefore the Cauchy problem defining the no-arbitrage price of contingent claim contracts admits a solution. The conditions established in this paper are quite general, they encompass the sets of sufficient conditions already ...
Fausto Gozzi
exaly   +4 more sources

On the arbitrage pricing theory

Economic Theory, 1991
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Gilles, Christian, LeRoy, Stephen F.
openaire   +1 more source

The Arbitrage Pricing Theory and Supershares

The Journal of Finance, 1989
ABSTRACTIn a single‐period model with options on the market portfolio, linear factor pricing holds if and only if the variance of the market conditional on the factors is zero. There is no need for factors other than nonlinear functions of the market.
openaire   +1 more source