Results 81 to 90 of about 54,368 (195)

Choquet Integrals With Respect to Non-Monotonic Set Functions [PDF]

This paper introduces the signed Choquet integral, i.e., a nonmonotonic generalization of the Choquet integral. Applications to welfare theory, multi-period optimization, and asset pricing are described.Choquet integral;comonotonicity;arbitrage;time ...
De Waegenaere, A.M.B., Wakker, P.P.
core   +1 more source

The Impacts of Macroeconomic Variables on the Iranian Stock Market [PDF]

پژوهشهای اقتصادی, 2009
This paper is an attempt to investigate the impacts of macroeconomic variables on capital market in Iran using quarterly observations for the period 1991Q2 to 2007Q1.
,
doaj  

Market imperfections , equilibrium and arbitrage [PDF]

The theory of asset pricing, which takes its roots in the Arrow-Debreu model, the Black and Scholes formula, has been famalized in a framework by Harrison and Kreps (1979), harrison and Pliska (1979) and Kreps (1981).
Elyès Jouini
core  

Penerapan Model CAPM dan Arbitrage Pricing Theory dalam Menghitung Return Indeks Saham IDX30

, 2023
Suciana Fratama, Eti Kurniati, Suciana Fratama, Eti Kurniati   +3 more
openalex   +2 more sources

Asset Pricing Model With Stopping Option and Entering Option: Intelligent Arbitrage Pricing Theory

, 2006
Adam Z.K. Wang, Adam Z.K. Wang
openalex   +1 more source

The evolution of data pricing: From economics to computational intelligence. [PDF]

Heliyon, 2023
Hao J, Deng Z, Li J.
europepmc   +1 more source

Macroeconomic Variables as Common Pervasive Risk Factors and Empirical Content of the Arbitrage Pricing Theory in Pakistan

Lahore Journal of Economics
The Arbitrage Pricing Theory (APT) of Ross [1976] is one of the most important building blocks of modern asset pricing theory, and the prime alternative to the celebrated Capital Asset Pricing Model (CAPM) of Sharpe [1964], Lintner [1965], and others ...
Ali Ataullah
doaj  

Application of the arbitrage pricing based on Gaussian temporal factor analysis (TFA) for the prediction of cryptocurrency prices

Вісник Харківського національного університету імені В.Н. Каразіна: Серія Економіка
The study demonstrates how the Gaussian TFA model can be applied for cryptocurrency price forecasting. The study considers four approaches of the Extended Normalized Radial Basis Function (ENRBF), namely, the N-Adaptive ENRBF, S-Adaptive ENRBF, ICA-ENRBF
A.D. Gbadebo, L.A. Abdulrauf
doaj   +1 more source

Essays on Arbitrage Pricing Theory and Systemic Risk Modeling [PDF]

, 2016
Ibraimi, Meriton
openalex   +1 more source

Cross-sectional Predictability of Indian Stock Returns: A Factor Analytical Approach

Copernican Journal of Finance & Accounting
This article's core objective is to analyze how firm characteristics collectively effect the risk-adjusted returns of Indian stocks. It aims to understand the simultaneous explanatory power of multiple variables that have shown to predict the cross ...
Sanjay Shanbhag, Kamran Quddus
doaj