Results 21 to 30 of about 54,368 (195)
The Laws of Motion of the Broker Call Rate in the United States
International Journal of Financial Studies, 2019 In this paper, which is the third installment of the author’s trilogy on margin loan pricing, we analyze 1367 monthly observations of the U.S. broker call money rate, e.g., the interest rate at which stockbrokers can borrow to fund their margin ...
Alex Garivaltis
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How to Test the Arbitrage Pricing Theory (APT) [PDF]
Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī, 2007 As a response to critiques about the capital asset pricing model (CAPM), Ross (1976) proposed Arbitrage Pricing Theory (APT) as an alternative model with fewer assumptions, and use of multi risk factors affecting assets prices instead of one.
Ghassem Mohsseni Demneh
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Arbitrage-Free Pricing Before and Beyond Probabilities
, 2013 "Fundamental theorem of asset pricing" roughly states that absence of arbitrage opportunity in a market is equivalent to the existence of a risk-neutral probability. We give a simple counterexample to this oversimplified statement.
Paulot, Louis
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Jurnal Aplikasi Manajemen, 2020 This study determines the accuracy level of CAPM and APT in determining the expected return of LQ45 and comparing the expected return from CAPM and APT models. This study uses descriptive and comparative research approaches.
Irni Yunita +2 more
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Risks, 2017 The paper deals with defaultable markets, one of the main research areas of mathematical finance. It proposes a new approach to the theory of such markets using techniques from the calculus of optional stochastic processes on unusual probability spaces ...
Mohamed N. Abdelghani +1 more
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International Journal of Financial Studies, 2021 The change of information near light speed, advances in high-speed trading, spatial arbitrage strategies and foreseen space exploration, suggest the need to consider the effects of the theory of relativity in finance models. Time and space, under certain
Vitor H. Carvalho, Raquel M. Gaspar
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Model selection for measuring security price performance
South African Journal of Business Management, 1989 In this article a bootstrapping routine is used to compare the efficiency of different benchmarks that can be used for measuring security price performance on the Johannesburg Stock Exchange.
M. J. Page
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Extraction of the underlying structure of systematic risk from non-Gaussian multivariate financial time series using independent component analysis: Evidence from the Mexican stock exchange [PDF]
, 2018 Regarding the problems related to multivariate non-Gaussianity of financial time series, i.e., unreliable results in extraction of underlying risk factors -via Principal Component Analysis or Factor Analysis-, we use Independent Component Analysis (ICA ...
Ladrón de Guevara Cortés, Rogelio +2 more
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BSDEs driven by a multi-dimensional martingale and their applications to market models with funding costs [PDF]
, 2014 We establish some well-posedness and comparison results for BSDEs driven by one- and multi-dimensional martingales. On the one hand, our approach is largely motivated by results and methods developed in Carbone et al. (2008) and El Karoui and Huang (1997)
Nie, Tianyang, Rutkowski, Marek
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Arbitrage pricing theory [PDF]
, 2005 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
Huberman, Gur
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