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Chapter 10 Arbitrage, state prices and portfolio theory
Dybvig, Philip H.; Ross, Stephen A. - 2003
preferences, and solving them for probabilities gives us beliefs. We look at two popular asset pricing models, the CAPM and the …Neoclassical financial models provide the foundation for our understanding of finance. This chapter introduces the main … ideas of neoclassical finance in a single-period context that avoids the technical difficulties of continuous-time models …
Persistent link: https://www.econbiz.de/10014023861
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Assessing asset pricing models using revealed preference
Berk, Jonathan B.; Binsbergen, Jules H. van - 2014
Persistent link: https://www.econbiz.de/10010413194
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Essays on asset pricing anomalies
Schrön, Sebastian - 2020
Persistent link: https://www.econbiz.de/10012660786
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Assessing asset pricing models using revealed preference
Berk, Jonathan B.; Binsbergen, Jules H. van - In: Journal of financial economics 119 (2016) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10011589691
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Asset pricing and extreme event risk : common factors in ILS fund returns
Braun, Alexander; Ben Ammar, Semir; Eling, Martin - In: Journal of banking & finance 102 (2019), pp. 59-78
Persistent link: https://www.econbiz.de/10012162727
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Bad news bears : effects of expected market volatility on daily tracking error of leveraged bull and bear ETFs
Holzhauer, Hunter Matthew; Lu, Xing; MacLeod, Robert W.; … - In: Managerial finance 39 (2013) 12, pp. 1169-1187
Persistent link: https://www.econbiz.de/10010197618
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Innovative Kapitalanlage-Konzepte : ART, Behavioral Finance, Hedge Funds, Neue Märkte, Private Equity, Venture Capital
Hehn, Elisabeth (ed.) - 2000
Persistent link: https://www.econbiz.de/10001459414
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Currency risk and equity exposure management by ETFs
Tagliavini, Giulio; Zulberti, Marco - In: Asset management : strategies, opportunities and challenges, (pp. 81-111). 2019
Persistent link: https://www.econbiz.de/10013275764
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Patience is a virtue - in value investing
Hens, Thorsten; Schenk-Hoppé, Klaus Reiner - 2018
This note illustrates a simple but important insight for financial investment. In a heterogeneous agent-based evolutionary finance market model with long-lived assets, markets are stable if clients of fundamental ('value') investment funds are more patient than clients of other funds
Persistent link: https://www.econbiz.de/10011899600
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Fund flows inducing mispricing of risk in competitive financial markets
Stahmer, Axel - 2015
This paper studies the effect of new fund flows on investment behavior and the resulting equilibrium price of risk. The Small Fund Industry model shows equilibria with overinvestment in unprofitable and underinvestment in profitable investment opportunities. The Large Fund Industry model derives...
Persistent link: https://www.econbiz.de/10011389297