Instantaneous Arbitrage and the CAPM [PDF]
arXiv, 2019 This paper studies the concept of instantaneous arbitrage in continuous time and its relation to the instantaneous CAPM. Absence of instantaneous arbitrage is equivalent to the existence of a trading strategy which satisfies the CAPM beta pricing relation in place of the market.
arxiv
UTILIZAÇÃO DE CURTOSE E ASSIMETRIA PARA ELABORAÇÃO DE CARTEIRAS DE INVESTIMENTO [PDF]
, 2014 TCC (graduação) - Universidade Federal de Santa Catarina. Centro Sócio-Econômico. Economia.Com base nas observações de Scott e Horvath (1980) de que investidores possuem preferência pelos valores positivos de momentos centrais ímpares, como média e ...
Gerent, Evandro Garcia
core
Risk-return relationship: An empirical study of different statistical methods for estimating the Capital Asset Pricing Models (CAPM) and the Fama-French model for large cap stocks [PDF]
arXiv, 2015 The Capital Asset Pricing Model (CAPM) is one of the original models in explaining risk-return relationship in the financial market. However, when applying the CAPM into reality, it demonstrates a lot of shortcomings. While improving the performance of the model, many studies, on one hand, have attempted to apply different statistical methods to ...
arxiv
Improved achromatization of phase mask coronagraphs using colored apodization [PDF]
, 2011 For direct imaging of exoplanets, a stellar coronagraph helps to remove the image of an observed bright star by attenuating the diffraction effects caused by the telescope aperture of diameter D. The Dual Zone Phase Mask (DZPM) coronagraph constitutes a promising concept since it theoretically offers a small inner working angle (IWA \sim \lambda_0/D ...
arxiv +1 more source
Análise do efeito da incerteza sobre o nível de investimentos : uma abordagem sob a ótica da Teoria das Opções Reais [PDF]
, 2016 Dissertação (mestrado)—UnB/UFPB/UFRN, Programa Multi-institucional e Inter-regional de Pós-graduação em Ciências Contábeis, 2016.Esta dissertação teve por objetivo analisar o efeito da incerteza sobre o nível de investimento das empresas listadas na ...
Silva, Polyandra Zampiere Pessoa da
core +1 more source
Análise da entropia como medida de incerteza e valor ordinal da informação no mercado bolsista de acções português [PDF]
, 2009 O problema em estudo neste trabalho de investigação é a possível falta de adequabilidade dos modelos tradicionais utilizados na gestão de carteiras à realidade que caracteriza o mercado bolsista de acções português, principalmente na forma como é ...
Dionísio, Andreia
core
A Numerical Study on the Evolution of Portfolio Rules: Is CAPM Fit for Nasdaq? [PDF]
arXiv, 2000 In this paper we test computationally the performance of CAPM in an evolutionary setting. In particular we study the stability of wealth distribution in a financial market where some traders invest as prescribed by CAPM and others behave according to different portfolio rules. Our study is motivated by recent analytical results that show that, whenever
arxiv
A simplified Capital Asset Pricing Model [PDF]
arXiv, 2011 We consider a Black-Scholes market in which a number of stocks and an index are traded. The simplified Capital Asset Pricing Model is the conjunction of the usual Capital Asset Pricing Model, or CAPM, and the statement that the appreciation rate of the index is equal to its squared volatility plus the interest rate.
arxiv
Implementación de un modelo GARCH-M al modelo CAPM para mejorar el ajuste de los rendimientos de los activos financieros [PDF]
, 2023 Los agentes económicos que participan en el mercado bursátil invirtiendo su presupuesto con la meta de generar ganancias, están expuestos a diferentes niveles de riesgo ya que como indica BBVA (s.f.), toda inversión implica un nivel de riesgo.
Murillo Morales, Cristian Alejandro
core
Hedging and Leveraging: Principal Portfolios of the Capital Asset Pricing Model [PDF]
arXiv, 2013 The principal portfolios of the standard Capital Asset Pricing Model (CAPM) are analyzed and found to have remarkable hedging and leveraging properties. Principal portfolios implement a recasting of any correlated asset set of N risky securities into an equivalent but uncorrelated set when short sales are allowed.
arxiv