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Asset pricing and portfolio choice theory
Back, Kerry E. - 2017 - Second edition
Persistent link: https://www.econbiz.de/10011452259
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Long-lived information and intraday patterns
Back, Kerry E.; Pedersen, Hal - In: Journal of financial markets 1 (1998) 3/4, pp. 385-402
Persistent link: https://www.econbiz.de/10001426555
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Auctions of divisible goods with endogenous supply
Back, Kerry E.; Zender, Jaime Francis - In: Economics letters 73 (2001) 1, pp. 29-34
Persistent link: https://www.econbiz.de/10001613313
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Information in securities markets : Kyle meets Glosten and Milgrom
Back, Kerry E.; Baruch, Shmuel - In: Econometrica : journal of the Econometric Society, an … 72 (2004) 2, pp. 433-465
Persistent link: https://www.econbiz.de/10001978001
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Imperfect competition among informed traders
Back, Kerry E.; Cao, C. Henry; Willard, Gregory A. - In: The journal of finance : the journal of the American … 55 (2000) 5, pp. 2117-2155
Persistent link: https://www.econbiz.de/10001523900
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On the fundamental theorem of asset pricing with an infinite state space
Back, Kerry E. - In: Journal of mathematical economics 20 (1991) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10001107840
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Auctions of divisible goods : on the rationale for the treasury experiment
Back, Kerry E. - In: The review of financial studies 6 (1993) 4, pp. 733-764
Persistent link: https://www.econbiz.de/10001159895
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Discrete versus continuous trading in securities markets with net worth constraints
Back, Kerry E.; Pliska, Stanley R. - 1986
Persistent link: https://www.econbiz.de/10000996046
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Portfolio turnpikes
Dybvig, Philip H.; Rogers, Leonard C. G.; Back, Kerry E. - In: The review of financial studies 12 (1999) 1, pp. 165-195
Persistent link: https://www.econbiz.de/10001353476
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Martingale Pricing
Back, Kerry - 2010
The fact that properly normalized asset prices are martingales is the basis of modern asset pricing. One normalizes asset prices to adjust for risk and time preferences. Both adjustments can be made simultaneously via a stochastic discount factor, or one can adjust for risk by changing...
Persistent link: https://www.econbiz.de/10013136136