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~person:"Fabozzi, Frank J."
~person:"Ferson, Wayne E."
~person:"Lustig, Hanno"
~type:"article"
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Search: subject:"Capital-Asset-Pricing-Modell"
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CAPM
80
Theorie
45
Theory
45
Portfolio selection
27
Portfolio-Management
27
Capital income
25
Kapitaleinkommen
25
USA
21
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21
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16
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16
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11
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Fabozzi, Frank J.
Ferson, Wayne E.
Lustig, Hanno
Zaremba, Adam
66
Jarrow, Robert A.
36
Faff, Robert W.
32
Lee, Cheng F.
32
Cakici, Nusret
31
Harvey, Campbell R.
29
Madan, Dilip B.
29
Hansen, Lars Peter
27
Zhou, Guofu
24
Hens, Thorsten
23
Sehgal, Sanjay
23
Campbell, John Y.
21
Rubio, Gonzalo
21
Satchell, Stephen
21
Fama, Eugene F.
20
Fletcher, Jonathan
19
Levy, Haim
19
Cochrane, John H.
18
Duffie, Darrell
18
Kan, Raymond
18
Robotti, Cesare
18
Yang, Chunpeng
18
Bossaerts, Peter L.
17
Brennan, Michael J.
17
He, Xue-zhong
17
Renault, Eric
17
Shanken, Jay
17
Zhang, Lu
17
Bali, Turan G.
16
Jagannathan, Ravi
16
Löffler, Andreas
16
Auer, Benjamin R.
15
Guo, Hui
15
Lo, Andrew W.
15
Hommes, Cars H.
14
Hung, Mao-Wei
14
Kruschwitz, Lutz
14
Li, Bin
14
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The journal of finance : the journal of the American Finance Association
9
Journal of financial economics
5
The review of financial studies
4
Applied economics
3
Financial markets and asset pricing
3
Research in finance
3
The journal of asset management : a major new, international quarterly journal for the financial community
3
Finance research letters
2
Investment management and financial management
2
Journal of banking & finance
2
Journal of financial and quantitative analysis : JFQA
2
Journal of monetary economics
2
The American economic review
2
The handbook of fixed income securities
2
The journal of derivatives : the official publication of the International Association of Financial Engineers
2
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The theory and practice of investment management
2
Advances in futures and options research : a research annual
1
Annual review of financial economics
1
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European economic review : EER
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European journal of operational research : EJOR
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International journal of theoretical and applied finance
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Investment performance measurement : evaluating and presenting results
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Review of economic dynamics
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ECONIS (ZBW)
80
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80
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1
What difference do new factor models make in portfolio allocation?
Fabozzi, Frank J.
;
Huang, Dashan
;
Jiang, Fuwei
;
Wang, Jiexun
- In:
Journal of international money and finance
140
(
2024
),
pp. 1-20
Persistent link: https://www.econbiz.de/10014451422
Saved in:
2
The US public debt valuation puzzle
Jiang, Zhengyang
;
Lustig, Hanno
;
Nieuwerburgh, Stijn van
; …
- In:
Econometrica : journal of the Econometric Society, an …
92
(
2024
)
4
,
pp. 1309-1347
Persistent link: https://www.econbiz.de/10015048053
Saved in:
3
Review article: perspectives on the future of asset pricing
Brunnermeier, Markus Konrad
;
Farhi, Emmanuel
;
Koijen, …
- In:
The review of financial studies
34
(
2021
)
4
,
pp. 2126-2160
Persistent link: https://www.econbiz.de/10012504747
Saved in:
4
Alternative risk premium : specification noise
Gorman, Stephen A.
;
Fabozzi, Frank J.
- In:
The journal of asset management : a major new, …
24
(
2023
)
6
,
pp. 459-473
Persistent link: https://www.econbiz.de/10014419524
Saved in:
5
Fiscal capacity : an asset pricing perspective
Jiang, Zhengyang
;
Lustig, Hanno
;
Nieuwerburgh, Stijn van
; …
- In:
Annual review of financial economics
15
(
2023
),
pp. 197-219
Persistent link: https://www.econbiz.de/10014426279
Saved in:
6
Option pricing in an investment risk-return setting
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
;
Shirvani, …
- In:
Applied economics
54
(
2022
)
14
,
pp. 1625-1638
Persistent link: https://www.econbiz.de/10012875529
Saved in:
7
The effects of errors in means, variances, and correlations on the mean-variance framework
Chung, Munki
;
Lee, Yongjae
;
Kim, Jang Ho
;
Kim, Woo Chang
; …
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1893-1903
Persistent link: https://www.econbiz.de/10013367960
Saved in:
8
A lifetime allocation with human capital : implications for target date fund
Ha, Seokkeun
;
Fabozzi, Frank J.
- In:
The journal of asset management : a major new, …
23
(
2022
)
5
,
pp. 365-375
Persistent link: https://www.econbiz.de/10013392028
Saved in:
9
Equity premium puzzle or faulty economic modelling?
Shirvani, Abootaleb
;
Stoyanov, Stoyan V.
;
Fabozzi, Frank J.
- In:
Review of quantitative finance and accounting
56
(
2021
)
4
,
pp. 1329-1342
Persistent link: https://www.econbiz.de/10012549795
Saved in:
10
Multiple subordinated modeling of asset returns : implications for option pricing
Shirvani, Abootaleb
;
Račev, Svetlozar T.
;
Fabozzi, Frank J.
- In:
Econometric reviews
40
(
2021
)
3
,
pp. 290-319
Persistent link: https://www.econbiz.de/10012515600
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