Search Results - subject:"No Arbitrage Condition"

No-arbitrage conditions and pricing from discrete-time to continuous-time strategies

Cherif, Dorsaf; Lépinette, Emmanuel - In: Annals of finance 19 (2023) 2, pp. 141-168

Persistent link: https://www.econbiz.de/10014326684

Comparación de pronósticos de la estructura temporal de tasas de interés de México para distintas especificaciones del modelo afín

Lelo-de-Larrea, Alejandra - 2020

Four specifications of an affine model with risk aversion and no arbitrage conditions are estimated for the Mexican Term Structure of Interest Rates, contrasting their empirical properties and the accuracy of their in and out of sample forecasts. The traditional models are extended by adding...

Persistent link: https://www.econbiz.de/10012616394

Comparación de pronósticos de la estructura temporal de tasas de interés de México para distintas especificaciones del modelo afín

Lelo-de-Larrea, Alejandra - 2020

Persistent link: https://www.econbiz.de/10012195193

Robust international portfolio optimization with worst‐case mean‐CVaR

Luan, Fei; Zhang, Weiguo; Liu, Yongjun - In: European journal of operational research : EJOR 303 (2022) 2, pp. 877-890

Persistent link: https://www.econbiz.de/10013364039

On the long-run equilibrium value of Tobin's average Q

Franke, Reiner; Yanovski, Boyan - In: European Journal of Economics and Economic Policies: … 13 (2016) 1, pp. 103-113

This note considers Tobin's average Q in a framework where firms finance investment by equities and debt. The determination of its long-run equilibrium value Q° is based on positing equality of the loan rate and, adjusted for a risk premium, the return on equities. Q° can thus be characterized...

Persistent link: https://www.econbiz.de/10014363257

On the long-run equilibrium value of Tobin's average Q

Franke, Rainer; Yanovski, Boyan - 2015

This note considers Tobin's average Q in a framework where firms finance investment by equities and debt. The determination of its long-run equilibrium value Qo is based on positing equality of the loan rate and, adjusted for a risk premium, the return on equities. Qo can thus be characterized...

Persistent link: https://www.econbiz.de/10011379779

On the long-run equilibrium value of Tobin’s average Q

Franke, Rainer; Yanovski, Boyan - 2015

Persistent link: https://www.econbiz.de/10011376786

On the long-run equilibrium value of Tobin's average

Yanovski, Boyan; Franke, Reiner - In: Essays on real-financial interactions and on the …, (pp. 63-79). 2019

Persistent link: https://www.econbiz.de/10012035440

Pareto optima and exchange rates under risk neutrality: A note

Bosi, Stefano; Fontaine, Patrice; Van, Cuong Le - Institut de Préparation à l'Administration et à la … - 2014

, under a no- arbitrage condition on the international capital market, we can deffne an exchange rates system for which …-neutral economy where a no-arbitrage condition for assets and PPP hold, but UIRP fails, that the only individually rational Pareto …

Persistent link: https://www.econbiz.de/10010860474

Arbitrage and asset market equilibrium in finite dimensional economies with short-selling and risk-averse expected utilities

Ha-Huy, Thai; Van, Cuong Le - Institut de Préparation à l'Administration et à la … - 2014

We consider a model with an finite number of states of nature where short sells are allowed.

Persistent link: https://www.econbiz.de/10010860565