Results 111 to 120 of about 15,441 (215)

An Information Bottleneck Asset Pricing Model

CoRR
Deep neural networks (DNNs) have garnered significant attention in financial asset pricing, due to their strong capacity for modeling complex nonlinear relationships within financial data. However, sophisticated models are prone to over-fitting to the noise information in financial data, resulting in inferior performance.
openaire   +2 more sources

Consumption-Based Asset Pricing with a Reference Level: New Evidence from the Cross-Section of Stock Returns [PDF]

This paper presents an empirical evaluation of recently proposed asset pricing models which extend the standard preference specification by a reference level of consumption.
Grammig, Joachim G., Schrimpf, Andreas
core  

Correction: Conditional autoencoder asset pricing models for the Korean stock market. [PDF]

PLoS One
Kim E, Cho T, Koo B, Kang HG.
europepmc   +1 more source

Aggregation of Heterogeneous Beliefs and Asset Pricing: A Mean-Variance Analysis [PDF]

The aim of this paper is to show, within the mean-variance framework, how the market belief can be constructed as the result of the aggregation of heterogeneous beliefs and how the market equilibrium prices of risky assets can thus be determined.
Roberto Dieci, Carl Chiarella, Tony He
core  

Enhancing the pricing efficiency of financial assets with an optimized bayesian network based on efficient fusion. [PDF]

PLoS One
Fu Q, Li X.
europepmc   +1 more source

Asset Pricing with a Reference Level of Consumption: New Evidence from the Cross-Section of Stock Returns [PDF]

This paper presents an empirical evaluation of recently proposed asset pricing models which extend the standard preference specification by a reference level of consumption.
Grammig, Joachim G., Schrimpf, Andreas
core  

Robots, ledgers, and RevPAR: a blockchain-enabled AI-robotics conceptual model for sustainable hotel revenue and asset management. [PDF]

Front Robot AI
Jackson LA.
europepmc   +1 more source

Testing Asset Pricing Models in Emerging Markets: An Examination of Higher Order Co-Moments and Alternative Factor Models

For emerging market returns there is strong evidence that the departure from normality is primarily driven by kurtosis and not skewness. This paper investigates the empirical validity of a return generating process that includes quadratic and cubic ...
Brooks, Robert, Iqbal, Javed, Galagedera, Don UA   +2 more
core  

Capital Asset Pricing for Markets with Intensity Based Jumps [PDF]

This paper proposes a unified framework for portfolio optimization, derivative pricing, modeling and risk measurement in financial markets with security price processes that exhibit intensity based jumps.
Eckhard Platen
core  

Regional asymmetry in financial markets: Pricing of skewness risk in the Thai stock market. [PDF]

PLoS One
Huynh TT, Khoa BT.
europepmc   +1 more source