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The private information price of risk
Detemple, Jérôme B.; Rindisbacher, Marcel - In: The handbook of post crisis financial modelling, (pp. 190-213). 2016
Persistent link: https://www.econbiz.de/10011475766
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Liquidity and capital under uncertainty and changing market sentiment : a simple analysis
Bossone, Biagio - In: Review of financial economics : RFE 23 (2014) 2, pp. 98-105
Persistent link: https://www.econbiz.de/10010442586
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Ordering ambiguous acts
Jewitt, Ian; Mukerji, Sujoy - 2011
Persistent link: https://www.econbiz.de/10009231684
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Information, Uncertainty and the Cost of Capitalin a Mean-Variance Efficient Market
Johnstone, David - 2015
Before information φ arrives, market observers must be uncertain whether the stock price conditioned on φ will be … condition of efficient markets, it is shown under the mean-variance CAPM that information which makes the future value of a firm … general, information that allows better discrimination between firms leads some firms to have higher costs of capital and …
Persistent link: https://www.econbiz.de/10013035935
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Inflation and risky investments
Laurila, Hannu; Ilomäki, Jukka - In: Journal of risk and financial management : JRFM 13 (2020) 12/329, pp. 1-10
The paper uses a Walrasian two-period financial market model with informed and uninformed constant absolute risk averse (CARA) rational investors and noise traders. The investors allocate their initial wealth between risky assets and risk-free fiat money. The analysis concentrates on the effects...
Persistent link: https://www.econbiz.de/10012403996
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Disclosure and the cost of Capital : a survey of the theoretical literature
Bertomeu, Jeremy; Cheynel, Edwige - In: Abacus : a journal of accounting, finance and business … 52 (2016) 2, pp. 221-258
Persistent link: https://www.econbiz.de/10011593244
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Uncertainty and sentiments in asset prices
Berardi, Michele - In: Journal of economic behavior & organization : JEBO 202 (2022), pp. 498-516
Persistent link: https://www.econbiz.de/10013552447
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Asset-liability management for long-term insurance business
Albrecher, Hansjörg; Bauer, Daniel; Embrechts, Paul; … - 2017
This is a summary of the main topics and findings from the Swiss Risk and Insurance Forum 2017. That event gathered experts from academia, insurance industry, regulatory bodies, and consulting companies to discuss past and current developments as well as future perspectives in dealing with...
Persistent link: https://www.econbiz.de/10011875661
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Essential features of a portfolio management system
Vasanth, Sandilya B. - In: Journal of securities operations & custody 6 (2013/2014) 2, pp. 132-137
Persistent link: https://www.econbiz.de/10010234991
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Multifactorial analysis of the price formation in the terms of a risk-free rate
Anghelache, Constantin; Anghel, Mădălina-Gabriela; … - In: Theoretical and applied economics : GAER review 28 (2021) 3/628, pp. 33-44
Persistent link: https://www.econbiz.de/10013258864