On CAPM and Black-Scholes, differing risk-return strategies [PDF]
In their path-finding 1973 paper Black and Scholes presented two separate derivations of their famous option pricing partial differential equation (pde).
Gunaratne, Gemunu H. +1 more
core +1 more source
Does Contract Farming Improve Diet Quality? The Case of Senegalese Smallholders
Agribusiness, EarlyView.ABSTRACT The institution of contract farming has gained prominence in most developing countries owing to its numerous benefits. While several studies have already highlighted the welfare benefits of contract farming, very few have investigated the effects on diet quality, despite poor quality diets being a serious challenge in most parts of the ...
Francis E. Ndip, Takeshi Sakurai
wiley +1 more source
Rating of Investments Funds Using the Capital Asset Pricing Model: Experience of Ukraine [PDF]
, 2019 Zoriana Matsuk +3 more
openalex +1 more source
Intertemporal Asset Pricing Without Consumption Data [PDF]
This paper proposes a new way to generalize the insights of static asset pricing theory to a multi-period setting. The paper uses a loglinear approximation to the budget constraint to substitute out consumption from a standard intertemporal asset pricing
John Y. Campbell
core
Price Premiums for Single‐Name and Compound‐Name Geographical Indications in Swiss Cheese Trade
Agribusiness, EarlyView.ABSTRACT Geographical indications (GIs) have become increasingly important in agri‐food markets, especially in Europe. For Swiss cheese imports and exports, we analyze whether GIs are associated with higher trade prices. We find that price premiums can be obtained for both exports and imports. However, this is only the case for cheeses with single name
Judith Irek
wiley +1 more source
Aplicação do CAPM (Capital Asset Pricing Model) condicional por meio de métodos não-paramétricos para a economia brasileira: um estudo empírico do período 2002-2009 [PDF]
, 2010 Marcela Monteiro Galeno
openalex +1 more source
Asset Pricing with Incomplete Information In a Discrete Time Pure Exchange Economy [PDF]
We study the consumption based asset pricing model in a discrete time pure exchange setting with incomplete information. Incomplete information leads to a filtering problem which agents solve using the Kalman filter.
Brice Dupoyet, Prasad Bidarkota
core
Resilience of Small Beef Packers and the USDA Meat Supply Chain Initiative
Agribusiness, EarlyView.ABSTRACT We focus on the plant‐size resilience relationship among small beef packers during COVID‐19. Defining resilience as the ability to maintain or increase slaughter and non‐resilience as otherwise, we use survey and secondary data to estimate a logit model where resilience is a function of a plant's capacity and age in addition to labor condition
Sunil P. Dhoubhadel +2 more
wiley +1 more source
Estimating the Continuous-Time Consumption-Based Asset-Pricing Model
, 1987 Sanford J. Grossman +2 more
openalex +2 more sources
Asset Pricing Under Information with Stochastic Volatility [PDF]
Based on a general specification of the asset specific pricing kernel, we develop a pricing model using an information process with stochastic volatility. We derive analytical asset and option pricing formulas.
Bertram Düring
core