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Positive alphas and a generalized multiple-factor asset pricing model
Jarrow, Robert A.; Protter, Philip E. - In: Mathematics and financial economics 10 (2016) 1, pp. 29-48
Persistent link: https://www.econbiz.de/10011446005
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Weak-form market efficiency of the Brazilian exchange rate : evidence from an artificial neural network model
Palma, Andreza Aparecida; Sartoris, Alexandre - In: Latin American business review : journal of the … 17 (2016) 2, pp. 163-176
Persistent link: https://www.econbiz.de/10011533040
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Arbitrage in markets with bid-ask spreads : the fundamental theorem of asset pricing in finite discrete time markets with bid-ask spreads and a money account
Rola, Przemysław - In: Annals of finance 11 (2015) 3/4, pp. 453-475
Persistent link: https://www.econbiz.de/10011459517
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Universal arbitrage aggregator in discrete-time markets under uncertainty
Burzoni, Matteo; Frittelli, Marco; Maggis, Marco - In: Finance and stochastics 20 (2016) 1, pp. 1-50
Persistent link: https://www.econbiz.de/10011459932
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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
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The validity of the arbitrage pricing theory in the Jordanian stock market
Ramadan, Imad Z. - In: International journal of economics and finance 4 (2012) 5, pp. 177-185
Persistent link: https://www.econbiz.de/10009616227
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The mathematics of arbitrage
Delbaen, Freddy; Schachermayer, Walter - 2006
Persistent link: https://www.econbiz.de/10002123958
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Benchmarks as Limits to Arbitrage : Understanding the Low-Volatility Anomaly
Baker, Malcolm P. - 2011
benchmark discourages arbitrage activity in both high-alpha, low-beta stocks and low-alpha, high-beta stocks …
Persistent link: https://www.econbiz.de/10013131199
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Arbitraging the Anomalies
Pal, Mukul - 2017
In finance, arbitrage is an essential framework to understand asset pricing. However, the study of anomalies also …
Persistent link: https://www.econbiz.de/10012971001
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Stable Linear-Time Optimization in Arbitrage Pricing Theory Models
Ritter, Gordon - 2016
We present an explicit formula for mean-variance optimization in the context of APT models (also called multi-factor models),and related generalizations with trading costs. Our explicit formula has two desirable features: 1. the solutions are well-defined and numerically stable in the presence...
Persistent link: https://www.econbiz.de/10012985425