Results 71 to 80 of about 54,368 (195)

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 ...
Igor V. Evstigneev, Klaus Schürger, Michael I. Taksar   +2 more
core  

Martingales and arbitrage: a new look [PDF]

, 2003
This paper addresses the equivalence between the absence of arbitrage and the existence of equivalent martingale measures. The equivalence will be established under quite weak assumptions since there are no conditions on the set of trading dates (it may ...
Balbás, Alejandro
core   +1 more source

Estudio de un portafolio en la frontera de media-desviación estándar no observable

Análisis Económico, 2005
En este artículo se demuestra que si un portafolio p está en la frontera generada por N instrumentos financieros, entonces el portafolio p está en la frontera generada por cualquier subconjunto de M (M < N) de los N instrumentos financieros y el mismo ...
Eneas A. Caldiño García
doaj  

Statistical and computational techniques for extraction of underlying systematic risk factors: a comparative in the Mexican stock exchange

Revista Finanzas y Política Económica, 2021
This paper compares the dimension reduction or feature extraction techniques, e.g., Principal Component Analysis, Factor Analysis, Independent Component Analysis and Neural Networks Principal Component Analysis, which are used as techniques for ...
Rogelio, Salvador Torra Porras, Enric Monte Moreno   +2 more
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  

Arbitrage Pricing Theory: Evidence From An Emerging Stock Market

Lahore Journal of Economics
The development of financial equilibrium asset pricing models has been the most important area of research in modern financial theory. These models are extensively tested for developed markets.
Javed Iqbal, Aziz Haider
doaj  

Modelos multifactores macroeconómicos desde la perspectiva del Arbitrage Pricing Theory (APT)

Análisis Económico, 2014
El planteamiento de un modelo multifactor macroeconómico desde la perspectiva del APT requiere de una adecuada selección de los factores de riesgo, éstos deben tener fácil interpretación, ser robustos en el tiempo y explicar tanto como sea posible la ...
Elitania Leyva Rayón
doaj  

Validity of the Arbitrage Pricing Theory in Turkey’s economy: An empirical analysis in the context of global economic crisis

, 2020
Hüseyin Uslu, Önder Uzkaralar
openalex   +1 more source

Contingent Claim Pricing In A Dual Expected Utility Theory Framework [PDF]

This paper investigates the price for contingent claims in a dual expected utility theory framework, the dual price, considering complete arbitrage-free nancial markets.
Andrea Gheno, Massimiliano Corradini
core  

ESTIMATING TURKISH STOCK MARKET RETURNS WITH APT MODEL: COINTEGRATION AND VECTOR ERROR CORRECTION

Economic Review, 2016
Multifactor financial models are of great importance in analyzing practical asset prices. As an alternative to CAPM, Arbitrage Pricing Theory (APT), developed by Ross (1976), describes the expected returns on any financial asset with respect to ...
Özge SEZGİN ALP, Fazıl GÖKGÖZ, Güray KÜÇÜKKOCAOĞLU   +2 more
doaj   +2 more sources