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Realativity in finance : goals and risk-based asset pricing for investors with multiple stochastic goals and agents

Muralidhar, Arun S. - In: Journal of investment management : JOIM 21 (2023) 4, pp. 53-81

Persistent link: https://www.econbiz.de/10014475371

Continuity of marketable payoffs with re-trading

Bonnisseau, Jean-Marc; Chéry, Achis - In: Economic theory 75 (2023) 1, pp. 31-53

Persistent link: https://www.econbiz.de/10013488820

Stochastic spanning

Arvanitis, Stelios; Hallam, Mark; Post, Thierry - 2015

This study develops and implements a theory and method for analyzing whether introducing new securities or relaxing investment constraints improves the investment opportunity set for risk averse investors. We develop a test procedure for ‘stochastic spanning’ for two nested polyhedral...

Persistent link: https://www.econbiz.de/10010512497

An alternative nonparametric tail risk measure

Law, Keith K. F.; Li, Wai Keung; Yu, Philip L. H. - In: Quantitative finance 21 (2021) 4, pp. 685-696

Persistent link: https://www.econbiz.de/10012483847

Computational methods for production-based asset pricing models with recursive utility

Aldrich, Eric Mark; Kung, Howard - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 25 (2021) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10012437836

The efficiency of risk sharing between UK and US : robust estimation and calibration under market incompleteness

Fernandes, Marcelo; Ferreira Vieira Filho, Jose Gil - In: Brazilian review of econometrics : BRE ; the review of … 39 (2019) 2, pp. 303-326

Persistent link: https://www.econbiz.de/10012211815

Exploiting stochastic dominance to generate abnormal stock returns

Clark, Ephraim; Kassimatis, Konstantinos - In: Journal of financial markets 20 (2014), pp. 20-38

Persistent link: https://www.econbiz.de/10010442398

On the (almost) stochastic dominance of cryptocurrency factor portfolios and implications for cryptocurrency asset pricing

Han, Weihao; Newton, David P.; Platanakis, Emmanouil; … - In: European financial management : the journal of the … 30 (2024) 3, pp. 1125-1164

Persistent link: https://www.econbiz.de/10014574015

Retrieving almost stochastic Dominance momentum in Taiwan stock market

Chiang, Mi-Hsiu; Chiu, Hsin-Yu; Hsu, Yu-Chin - In: Pacific-Basin finance journal 83 (2024), pp. 1-26

Persistent link: https://www.econbiz.de/10014491182

Utility maximization, duality, price for risk, semimartingale represenations & continuous time CAPM

Leitner, Johannes - 2001 - 1. Aufl.

Persistent link: https://www.econbiz.de/10001626257

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