Results 51 to 60 of about 3,734 (297)
Risk Forecasting in Shipping Exchange‐Traded‐Fund (ETF) Markets
International Journal of Finance &Economics, EarlyView.ABSTRACT This article examines the risk properties of freight‐derivative‐based exchange‐traded funds (ETFs), focusing on the Breakwave Dry Bulk Shipping ETF (BDRY), and evaluates the accuracy of Value‐at‐Risk (VaR) and Expected Shortfall (ES) forecasts across a range of econometric models.
Christos Katris +2 more
wiley +1 more source
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
doaj +1 more source
On the fundamental theorem of asset pricing: random constraints and bang-bang no-arbitrage criteria [PDF]
The paper generalizes and refines the Fundamental Theorem of Asset Pricing of Dalang, Morton and Willinger in the following two respects: (a) the result is extended to a model with portfolio constraints; (b) versions of the no-arbitrage criterion based ...
Klaus Schürger +2 more
core
Multiperiod asset pricing in the presence of transaction costs and taxes [PDF]
, 2000 This paper models the effect of transaction costs and taxes on asset pricing in a multi-period setting. It extends the study by Demody and Rockafellar (DR)(1991), where is was shown that term structure valuation is agent-specific owing to agents ...
Wang, P, Poon, S
core
Projective system approach to the martingale characterization of the absence of arbitrage [PDF]
, 2001 The equivalence between the absence of arbitrage and the existence of an equivalent martingale measure fails when an infinite number of trading dates is considered. By enlarging the set of states of nature and the probability measure through a projective
Balbás, Alejandro +2 more
core +1 more source
The regulation of stem cell fate and its application in neural regeneration
Interdisciplinary Medicine, EarlyView.Regulating stem cell fate is crucial for neural regeneration. This review summarizes key physical, biological, and chemical strategies and their applications in repairing nerve injuries, providing new insights for regenerative medicine. Abstract Regulating the fate of stem cells (SCs) is a key technical problem in the field of regenerative medicine and
Yuexin He +3 more
wiley +1 more source
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
Arbitrage and Control Problems in Finance. Presentation. [PDF]
The theory of asset pricing takes its roots in the Arrow-Debreu model (see,for instance, Debreu 1959, Chap. 7), the Black and Scholes (1973) formula,and the Cox and Ross (1976) linear pricing model.
Elyès Jouini
core
On the Evolution of the Stock Market Efficiency: Evidence From Emerging Markets
International Studies of Economics, EarlyView.ABSTRACT The study of market efficiency is one of the most covered topics in the field of financial markets, with the Efficient Market Hypothesis gathering devotees as well as several critics. The perception of markets as agents with an adaptive nature gave rise to the Adaptive Market Hypothesis (AMH).
Júlio Lobão, Luís Pacheco, Nuno Cruz
wiley +1 more source