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Hedging long run commitments : exercises in incomplete market pricing

Ross, Stephen A. - In: Economic notes : economic review of Banca Monte dei … 26 (1997) 2, pp. 385-420

Persistent link: https://www.econbiz.de/10001337736

International capital flows, returns and world financial integration

Evans, Martin D. D.; Hnatkovska, Viktoria - In: Journal of international economics 92 (2014) 1, pp. 14-33

Persistent link: https://www.econbiz.de/10010438457

Testing for mean-variance spanning with short sales constraints and transaction costs : the case of emerging markets

Roon, Frans de; Nijman, Theodore E.; Werker, Bas J. M. - 1998

Persistent link: https://www.econbiz.de/10000978825

Testing for mean-variance spanning with short sales constraints and transaction costs : the case of emerging markets

Roon, Frans de; Nijman, Theodore E.; Werker, Bas J. M. - 1997

Persistent link: https://www.econbiz.de/10000969024

Asset Pricing In a World of Imperfect Foresight

Bossaerts, Peter - 2020

We consider a canonical asset pricing model, where agents with quadratic preferences are allowed to retrade a limited set of securities over multiple periods, after which these securities expire, and agents consume their liquidation values. A key assumption in this model is that agents have...

Persistent link: https://www.econbiz.de/10012833019