Review of: "Exploring the Convergence of Macroeconomic Variables and Market Capitalization in an Emerging Economy: An Empirical Analysis Using Arbitrage Pricing Theory" [PDF]
Serpil Kahraman
+9 more sources
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
doaj
Stochastic relaxational dynamics applied to finance: towards non-equilibrium option pricing theory
, 1999 Non-equilibrium phenomena occur not only in physical world, but also in finance. In this work, stochastic relaxational dynamics (together with path integrals) is applied to option pricing theory.
Otto, Matthias
core +1 more source
Option-pricing in incomplete markets: the hedging portfolio plus a risk premium-based recursive approach [PDF]
, 2005 Consider a non-spanned security $C_{T}$ in an incomplete market. We study the risk/return tradeoffs generated if this security is sold for an arbitrage-free price $\hat{C_{0}}$ and then hedged. We consider recursive "one-period optimal" self-financing
Ibáñez, Alfredo
core +3 more sources
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
doaj
A general methodology to price and hedge derivatives in incomplete markets
, 1999 We introduce and discuss a general criterion for the derivative pricing in the general situation of incomplete markets, we refer to it as the No Almost Sure Arbitrage Principle.
Aurell, E. +4 more
core +1 more source
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
doaj +1 more source
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
doaj +1 more source
Some economic remarks on arbitrage theory [PDF]
Today's primarily mathematically oriented arbitrage theory does not address some economically important aspects of pricing. These are, first, the implicit conjecture that there is 'the' price of a portfolio, second, the exact formulation of no-arbitrage,
Nietert, Bernhard, Wilhelm, Jochen
core
Arbitrage Theorem and its Applications
Theory, Methodology, Practice, 2002 In my article I describe the concept of financial rate of return and the value of return in a very simple model first. Then as generalisation of the model we take an experiment, which has n possible outcomes.
Tamás Nagy
doaj