Results 81 to 90 of about 54,842 (235)

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
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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  

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.
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doaj  

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
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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

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  

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

, 2006
Adam Z.K. Wang
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Essays on Arbitrage Pricing Theory and Systemic Risk Modeling [PDF]

, 2015
Meriton Ibraimi
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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