Chen, Kim Heng; Jandhyala, Venkata K.; Fotopoulos, … - In: Review of Applied Economics 1 (2005) 2
This paper provides a comprehensive analysis of the nonlinear properties of multifactor pricing models. Beginning with the generalized geometric Brownian motion, we develop a method whereby the log returns of a set of d-assets or portfolios admit a scale mixture model. This is followed by an...
