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Stock fund returns and macroeconomic variables in Brazil

Rebeschini, Amabile Millani; Leal, Ricardo Pereira Câmara - In: Latin American business review : journal of the … 17 (2016) 2, pp. 139-161

Persistent link: https://www.econbiz.de/10011533037

Incomplete markets with endogenous portfolio constraints and redundant assets

Hahn, Guangsug - In: Seoul journal of economics 27 (2014) 4, pp. 469-488

Persistent link: https://www.econbiz.de/10010472777

Beyond CAPM: an innovative factor model to optimize the risk and return trade-off

Andriotto, Mauro; Teti, Emanuele - In: Journal of business economics and management 15 (2014) 4, pp. 615-630

Persistent link: https://www.econbiz.de/10010415337

Asymptotic arbitrage with small transaction costs

Klein, Irene; Lépinette, Emmanuel; Perez-Ostafe, Lavinia - In: Finance and stochastics 18 (2014) 4, pp. 917-939

Persistent link: https://www.econbiz.de/10010416822

A model of anomaly discovery

Lium, Qi; Lu, Lei; Sun, Bo; Yan, Hongjun - 2015

Persistent link: https://www.econbiz.de/10010493908

Benchmark models of expected returns in U.K. portfolio performance : an empirical investigation

Fletcher, Jonathan - In: International review of economics & finance : IREF 29 (2014), pp. 30-46

Persistent link: https://www.econbiz.de/10010431513

Idiosyncratic risk, long-term reversal, and momentum

McLean, R. David - In: Journal of financial and quantitative analysis : JFQA 45 (2010) 4, pp. 883-906

Persistent link: https://www.econbiz.de/10008758091

Small transaction costs, absence of arbitrage and consistent price systems

Grépat, Julien; Kabanov, Jurij M. - In: Finance and stochastics 16 (2012) 3, pp. 357-368

Persistent link: https://www.econbiz.de/10009562323

The value and price of active management

Jacobsen, Brian J. - In: Journal / The Capco Institute : journal of financial … 29 (2010), pp. 27-30

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A benchmark model for financial markets

Platen, Eckhard - 2001

This paper introduces a benchmark model for financial markets, which is based on the unique characterization of a benchmark portfolio that is chosen to be the growth optimal portfolio. The general structure of risk premia for asset prices and portfolios is derived. Furthermore, the short rate is...

Persistent link: https://www.econbiz.de/10009614289

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