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Bayesian and CAPM estimators of the means : implications for portfolio selection

Jorion, Philippe - In: Journal of banking & finance 15 (1991) 3, pp. 717-727

Persistent link: https://www.econbiz.de/10001108341

The pricing of exchange rate risk in the stock market

Jorion, Philippe - In: Journal of financial and quantitative analysis : JFQA 26 (1991) 3, pp. 363-376

Persistent link: https://www.econbiz.de/10001113531

The time-variation of risk and return in the foreign exchange and stock markets

Giovannini, Alberto; Jorion, Philippe - 1988

Persistent link: https://www.econbiz.de/10000747131

The time-variation of risk and return in the foreign exchange and stock markets

Giovannini, Alberto; Jorion, Philippe - 1988

Persistent link: https://www.econbiz.de/10000755202

Option listing and stock returns : an empirical analysis

Detemple, Jérôme B. - In: Journal of banking & finance 14 (1990) 4, pp. 781-801

Persistent link: https://www.econbiz.de/10001096377

The time variation of risk and return in the foreign exchange and stock markets

Giovannini, Alberto - In: The journal of finance : the journal of the American … 44 (1989) 2, pp. 307-325

Persistent link: https://www.econbiz.de/10001072933

Time-series tests of a non-expected-utility model of asset pricing

Jorion, Philippe - In: European economic review : EER 37 (1993) 5, pp. 1083-1100

Persistent link: https://www.econbiz.de/10001147298

International portfolio diversification with estimation risk

Jorion, Philippe - In: The journal of business : B 58 (1985) 3, pp. 259-278

Persistent link: https://www.econbiz.de/10002041281

Time-series tests of a non-expected-utility model of asset pricing

Giovannini, Alberto; Jorian, Philippe - 1989

Persistent link: https://www.econbiz.de/10000781817

Time-Series Tests of a Non-Expected-Utility Model of Asset Pricing

Giovannini, Alberto - 1989

This paper provides two alternative estimation and testing procedures of a representative-agent model of asset pricing which relies on a particular parametrization of non-expected-utility preferences. The first is based on maximum-likelihood estimates, supplemented with an explicit model of time...

Persistent link: https://www.econbiz.de/10012475842