Results 31 to 40 of about 580 (159)

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
doaj  

Comparative Study between Capital Asset Pricing Model and Arbitrage Pricing Theory in Indonesian Capital Market during Period 2008-2012

APMBA (Asia Pacific Management and Business Application), 2015
For decades, there were many models explaining the returns earned emerged in order to fulfil the curiosity had by human. Since then, various studies and empirical findings in many countries’ stock market showedthat the empirical findings of market return
Leo Julianto
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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
doaj  

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
doaj  

Limit to Arbitrage and Distress Risk Puzzle in Vietnam: Does Corporate Bankruptcy Regulation Matter?

SAGE Open
This 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, Ngoc Thi Thanh Nguyen, Nga Thu Thi Do, Hoa Thanh Phan Le   +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
doaj  

Empirical testing of the Arbitrage Pricing Theory using data from the Johannesburg Stock Exchange

South African Journal of Business Management, 1986
In 1976 Stephen A. Ross developed a new theory of securities pricing called the Arbitrage Pricing Theory (APT). According to the APT the return an investor can expect from a share is related to the risk-free rate and numerous other factors rather than ...
M. J. Page
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