Results 81 to 90 of about 15,441 (215)

Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance [PDF]

Three concepts: stochastic discount factors, multi-beta pricing and mean variance efficiency, are at the core of modern empirical asset pricing. This paper reviews these paradigms and the relations among them, concentrating on conditional asset pricing ...
Wayne E. Ferson
core  

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
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Optimal Design of Multi-Asset Options

Risks
The combination of stochastic derivative pricing models and downside risk measures often leads to the paradox (risk, return) = (−infinity, +infinity) in a portfolio choice problem. The construction of a portfolio of derivatives with high expected returns
Alejandro Balbás, Beatriz Balbás, Raquel Balbás   +2 more
doaj   +1 more source

Single factor financial asset pricing models: an empirical test of the Capital Asset Pricing Model CAPM and the Downside Capital Asset Pricing Model D-CAPM Modelos de precificação de ativos financeiros de fator único: um teste empírico dos modelos CAPM e D-CAPM

REGE Revista de Gestão, 2005
This study analyzed the Capital Asset Pricing Model CAPM as well as the Downside Capital Asset Pricing Model D-CAPM and evaluated the latter as an efficient alternative asset pricing model.
Felipe Dias Paiva
doaj  

A Parsimonious Macroeconomic Model for Asset Pricing [PDF]

, 2009
I study asset prices in a two-agent macroeconomic model with two key features: limited stock market participation and heterogeneity in the elasticity of intertemporal substitution in consumption (EIS). The model is consistent with some prominent features of asset prices, such as a high equity premium; relatively smooth interest rates; procyclical stock
openaire   +3 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
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Memory and Asset Pricing Models with Heterogeneous Beliefs

The paper discusses the role of memory in asset pricing models with heterogeneous beliefs. In particular, we were interested in how memory in the fitness measure affects stability of evolutionary adaptive systems and survival of technical trading.
Verbic, Miroslav
core  

Consumption-Based Asset Pricing with Higher Cumulants [PDF]

I extend the Epstein-Zin-lognormal consumption-based asset-pricing model to allow for general i.i.d. consumption growth. Information about the higher moments--equivalently, cumulants--of consumption growth is encoded in the cumulant-generating function ...
Ian Martin
core  

Infinitely many securities and the fundamental theorem of asset pricing [PDF]

, 2004
Several authors have pointed out the possible absence of martingale measures for static arbitrage-free markets with an infinite number of available securities.
Balbás, Alejandro, Downarowicz, Anna
core  

ASSET PRICING IN THE ASIAN REGION [PDF]

In this asset pricing study, three questions are addressed. First, does the multifactor model of Fama and French (1993) capture returns in Asian stock markets in a meaningful manner?
Madhu Veeraraghavan, Michael E. Drew
core