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High Dimensional Estimation, Basis Assets, and Adaptive Multi-Factor Models

Zhu, Liao - 2020

Generalized Arbitrage Pricing Theory, which relaxes the convention that the number of risk-factors is small. We first obtain an …

Persistent link: https://www.econbiz.de/10012852402

Asset Market Equilibrium with Liquidity Risk

Jarrow, Robert A. - 2017

This paper derives an equilibrium asset pricing model with liquidity risk. Liquidity risk is modeled as a stochastic quantity impact on the price from trading, where the size of the impact depends on trade size. Under a mild set of assumptions, we prove that an equilibrium price process exists...

Persistent link: https://www.econbiz.de/10012971127

Positive Alphas and a Generalized Multiple-Factor Asset Pricing Model

Jarrow, Robert A. - 2015

general, depend on a different finite set of risk-factors. Second, positive alphas imply arbitrage opportunities or the …

Persistent link: https://www.econbiz.de/10013034546

Capital Asset Market Equilibrium With Liquidity Risk, Trading Constraints, and Asset Price Bubbles

Jarrow, Robert A. - 2018

This paper derives an equilibrium asset pricing model with endogenous liquidity risk, trading constraints, and asset price bubbles. Liquidity risk is modeled as a stochastic quantity impact on the price from trading, where the size of the impact depends on trade size. Asset price bubbles are...

Persistent link: https://www.econbiz.de/10012929504

Capital Asset Market Equilibrium With Liquidity Risk, Portfolio Constraints, and Asset Price Bubbles

Jarrow, Robert A. - 2018

This paper derives an equilibrium asset pricing model with endogenous liquidity risk, portfolio constraints, and asset price bubbles. Liquidity risk is modeled as a stochastic quantity impact on the price from trading, where the size of the impact depends on trade size. Asset price bubbles are...

Persistent link: https://www.econbiz.de/10012929509

Optimal Trading of Arbitrage Opportunities with Market Impact

Jarrow, Robert A. - 2010

and the arbitrageur's trades reduce (or eliminate) future arbitrage opportunities. In contrast to the standard textbook … arbitrage trading strategy which has infinite present value, we show that an arbitrageur's expected discounted trading profits … are finite. In addition, we show that it is rational for arbitrageurs not to trade the first time that arbitrage profits …

Persistent link: https://www.econbiz.de/10013144619

Positive Alphas, Abnormal Performance, and Illusory Arbitrage

Jarrow, Robert A.; Protter, Philip E. - 2011

represents an arbitrage opportunity. Second, we show that even if the correct factors and time varying betas are used, a non … bubble. We call this illusory arbitrage. Both facts are relevant to interpreting the existing empirical literature evaluating …

Persistent link: https://www.econbiz.de/10014044274

Positive Alphas, Abnormal Performance, and Illusory Arbitrage

Jarrow, Robert A. - 2010

Persistent link: https://www.econbiz.de/10013144621

Risk Measures and the Impact of Asset Price Bubbles

Jarrow, Robert A. - 2016

This paper analyzes the impact of asset price bubbles on a firm's standard risk measures, including value-at-risk (VaR) and conditional value-at-risk (CVaR). Comparing a bubble and non-bubble economy, it is shown that asset price bubbles cause (i) a firm's VaR and CVaR to decline, but (ii)...

Persistent link: https://www.econbiz.de/10013007080

The Impact of Quantitative Easing on the U.S. Term Structure of Interest Rates

Jarrow, Robert A. - 2012

structure of interest rates. Different from other studies, we estimate an arbitrage-free term structure model that explicitly … arbitrage opportunities into the Treasury security markets. Short- to medium- term forward rates were reduced (less than twelve …

Persistent link: https://www.econbiz.de/10013108838