Results 31 to 40 of about 107,784 (157)
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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An application of Arbitrage Pricing Theory on KSE-100 Index; A study from Pakistan (2000-2005)
, 2013 Arbitrage Pricing Theory takes into account more influencing factors other than the simple systematic risk, as defined in CAPM. In this study, we aim to evaluate stock returns using Arbitrage Pricing Model considering four macroeconomic factors i.e ...
Anam Gul, N. Khan
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Arbitrage Theory in Continuous Time
, 2019 The fourth edition of this textbook on pricing and hedging of financial derivatives, now also including dynamic equilibrium theory, continues to combine sound mathematical principles with economic applications.
T. Björk
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Jurnal Ekonomi & Studi Pembangunan, 2018 This research attempts to analyze risk and stock return of consumer sector and construction sector at Indonesian Stock Exchange. This research used the documentation method to collect the data. Data has been taken from Bloomberg Terminal.
Christian Christian, Rinaldi Rustam
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Equity Price Risk and Return: Evidence from the Karachi Stock Exchange
JISR Management and Social Sciences & Economics, 2009 This paper examines the tradeoff between equity price risk and returns obtained through various approaches. Capital asset pricing model (CAPM) and arbitrage pricing model (APT) are considered to be the fundamental building blocks of the portfolio theory,
Talha Bin Ali Khan, Ali Khizar Aslam
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Some Divergence Properties of Asset Price Models
Entropy, 2001 : We consider asset price processes Xt which are weak solutions of one-dimensional stochastic differential equations of the form (equation (2)) Such price models can be interpreted as non-lognormally-distributed generalizations of the geometric Brownian ...
Wolfgang Stummer
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The Validity of the Arbitrage Pricing Theory in the Jordanian Stock Market
, 2012 This paper aims to test the validity and applicability of the Arbitrage Pricing Theory (APT) in Amman Stock Exchange (ASE) during the period 2001-2011.
I. Z. Ramadan
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Arbitrage Pricing Theory Model Application on Tobacco and Cigarette Industry in Indonesia
Integrated Journal of Business and Economics, 2019 The purpose of this study was to applicant the Arbitrage Pricing Theory model in the tobacco and cigarette industry listed on the IDX. The APT model in this study uses macroeconomic variables consisting of exports, inflation, exchange rates, GDP and ...
Sakina Ichsani +2 more
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En la frontera de media-desviación estándar
Estudios Económicos, 1996 En este trabajo se presenta un análisis de la Frontera de Media Desviación Estándar (MSF) en términos de dos portafolios notables, y se estudia la localización geométrica de dichos portafolios en la frontera.
Eneas A. Caldiño
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