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Finance without probabilistic prior assumptions
Riedel, Frank - 2011
We develop the fundamental theorem of asset pricing in a probability-free infinite-dimensional setup. We replace the usual assumption of a prior probability by a certain continuity property in the state variable. Probabilities enter then endogenously as full support martingale measures (instead...
Persistent link: https://www.econbiz.de/10010319970
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Finitely Additive Equivalent Martingale Measures
Berti, Patrizia; Pratelli, Luca; Rigo, Pietro - 2010
Let L be a linear space of real bounded random variables on the probability space (omega,A, P0). There is a finitely additive probability P on A, such that P tilde P0 and EP (X) = 0 for all X in L, if and only if cEQ(X) = ess sup(-X), X in L, for some constant c 0 and (countably additive)...
Persistent link: https://www.econbiz.de/10010335300
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Arbitrage and nonlinear tax scales
Becker, Marcus; Löffler, Andreas - 2016
We look at the theory of arbitrage with taxation under certainty. The tax scale in our model is not linear. Under the …
Persistent link: https://www.econbiz.de/10011450858
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A note on the fundamental theorem of asset pricing under model uncertainty
Bayraktar, Erhan; Zhang, Yuchong; Zhou, Zhou - In: Risks 2 (2014) 4, pp. 425-433
We show that the recent results on the Fundamental Theorem of Asset Pricing and the super-hedging theorem in the context of model uncertainty can be extended to the case in which the options available for static hedging (hedging options) are quoted with bid-ask spreads. In this set-up, we need...
Persistent link: https://www.econbiz.de/10011709513
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The stable long-run CAPM and the cross-section of expected returns
Kim, Jeong-Ryeol - 2002
The capital-asset-pricing model (CAPM) is one of the most popular methods of financial market analysis. But, evidence … of the poor empirical performance of the CAPM has accumulated in the literature. For example, based on their empirical … results regarding the relation between market Beta and average return, Fama and French (1996) conclude that the CAPM is no …
Persistent link: https://www.econbiz.de/10010295722
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Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach
Dufour, Jean-Marie; Beaulieu, Marie-Claude; Khalaf, Lynda - 2003
of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a … is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for …In diesem Papier schlagen wir exakte likelihood-basierte Tests auf Mittelwert-Varianz- Effizienz im Rahmen des CAPM vor …
Persistent link: https://www.econbiz.de/10010295747
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The Relationship between Risk-Premium and Convenience-Yield Models
Markert, Viola; Zimmermann, Heinz - 2007
Persistent link: https://www.econbiz.de/10011390625
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Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH-in-Mean Models
Conrad, Christian; Mammen, Enno - 2008
kernel smoothing of the conditional mean function. An asymptotic theory for the resulting kernel estimator is developed and …
Persistent link: https://www.econbiz.de/10011422182
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Mean-Variance Efficiency and Intertemporal Price for Risk
Leitner, Johannes - 2000
In a continuous time, arbitrage free, non-complete market with a zero bond, we find the intertemporal price for risk to equal the standard deviation of the discounted variance opti- mal martingale measure divided by the zero bond price. We show the Hedging Numeraire to equal the Market Portfolio...
Persistent link: https://www.econbiz.de/10010324061
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Heterogeneity of Investors and Asset Pricing in a Risk-Value World
Franke, Günter; Weber, Martin - 2001
Persistent link: https://www.econbiz.de/10010324093