Results 31 to 40 of about 1,075 (150)
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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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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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
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Testing APT Model upon a BVB Stocks’ Portfolio [PDF]
Informatică economică, 2011 Applying the Arbitrage Pricing Theory model (APT), there can be identified the major factors of influence for a BVB’ portfolio stocks' trend. There were taken into consideration two of the APT theory models, establishing influences upon portfolio's yield:
Alexandra BONTAŞ, Ioan ODAGESCU
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Risk-Neutral Pricing for Arbitrage Pricing Theory [PDF]
, 2020 Laurence Carassus, Miklós Rásonyi
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Arbitrage pricing theory: Evidence from an emerging stock market
Journal of International Economics and Management, 2013 Employing the data for the period before the Asian Financial Crisis 1997-1998, between Jan 1987 and Dec 1996 under the light of the methodology proposed by Fama and McBeth (1973), the research investigates the relationship between the stock returns in ...
Dinh Tho Nguyen
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Limit to Arbitrage and Distress Risk Puzzle in Vietnam: Does Corporate Bankruptcy Regulation Matter?
SAGE OpenThis study is the first to examine how limit-to-arbitrage factors impact the distress risk puzzle in Vietnam before and after implementing bankruptcy regulations.
Khoa Dang Duong +3 more
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USED MODELS AND CRITERIA FOR ASSET YIELDS EXPLANATION [PDF]
Revista Română de Statistică, 2012 There were compared two known models (CAPM and TPA resuting the model describing better, in case of Romania , cashings and variation of cashings for ensured guarantees.There were taken into account monthly cashings (1.01.2005-31.12.2010 period) of 60 ...
Florin Dan PIELEANU
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CAPM or APT? A Comparison of Two Asset Pricing Models for Malaysia
Malaysian Management Journal, 1999 This study uses monthly return data on 213 stocks listed on the main board of Kuala Lumpur Stock Exchange, Malaysia for the period September 1988 to June 1997 to compare two frequently cited asset pricing models: the capital asset pricing model, CAPM and
Cung Huck Khoon +2 more
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