Results 81 to 90 of about 6,611 (148)

Optimal statistical arbitrage trading of Berkshire Hathaway stock and its replicating portfolio. [PDF]

PLoS One, 2021
Chen AS, Yang CM.
europepmc   +1 more source

Risk Aversion and Intertemporal Substitution in the Capital Asset Pricing Model [PDF]

When tastes are represented by a class of generalized preferences which -- unlike traditional Von-Neumann preferences -- do not confuse behavior towards risk with attitudes towards intertemporal substitution, the true beta of an asset is, in general, an ...
Alberto Giovannini, Philippe Weil
core  

Cross-section without factors: a string model for expected returns. [PDF]

Quant Finance
Distaso W, Mele A, Vilkov G.
europepmc   +1 more source

Testing Multi-Factor Asset Pricing Models in the Visegrad Countries [PDF]

There is no consensus in the literature as to which model should be used to estimate stock returns and the cost of capital in the emerging markets. The Capital Asset Pricing Model (CAPM), which is most often used for this purpose in the developed markets,
Borys, Magdalena Morgese Borys
core  

Assessing interconnectedness and systemic importance of Chinese financial institutions. [PDF]

iScience
Liu Z, Wang L, Huang C, Yang B.
europepmc   +1 more source

The Impact of News on Measures of Undiversifiable Risk: Evidence from the UK Stock Market. [PDF]

The usual measure of the undiversifiable risk of a portfolio is its beta. Recent research has allowed beta estimates to vary over time, often based on symmetric multivariate GARCH models.
Brooks, C., Henry, O.T.
core  

Dynamic interdependence between consumer confidence and housing prices: Evidence from bootstrap rolling window causality tests. [PDF]

PLoS One
Guan Y, Su C, Wang Y.
europepmc   +1 more source

Interpenetrating network nanoarchitectonics of antifouling poly(vinylidene fluoride) membranes for oil-water separation. [PDF]

RSC Adv, 2021
Guo Y, Liu C, Xu W, Liu G, Xiao K, Zhao HZ.   +5 more
europepmc   +1 more source

Graph attention-based heterogeneous multi-agent deep reinforcement learning for adaptive portfolio optimization. [PDF]

Sci Rep
Zhang B.
europepmc   +1 more source