heterogeneous agent models are able to generate noncausal asset prices. Chapter 5 considers the estimation of a class of standard …

We present a theoretical and empirical evaluation of the role of market belief in the structure of risk premia. To that … solution of equilibrium prices hence we can trace the exact effect of market belief on the time variability of equilibrium risk … arise. We then derive the equilibrium asset pricing and the risk premium which the model implies. Since asset prices are …

The management of financial risks, which is a branch of financial theory, is defined as a process that begins with risk … factors identification, continues with measurement of risk and concludes with the coverage of that risk. This work focuses on … the second phase of management process, namely the measurement of risk. This can be defined as an uncertainty which has an …

listed shares. Our analysis concerns the risk which arises from the Markowitz mean-variance approach. Our work method will be … methods of measurement of return, risk and the other statistical properties constitute, in fact, the pillars of companies …: the collection of data to be able to constitute our sample; the estimation of returns, of beta sensibility coefficients …