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Momentum and Reversion in Risk Neutral Martingale Probabilities

Madan, Dilip B. - 2014

A time homogeneous, purely discontinuous, parsimonous Markov martingale model is proposed for the risk neutral dynamics …

Persistent link: https://www.econbiz.de/10013064149

Arbitrage and utility maximization in market models with an insider

Chau, Huy N.; Runggaldier, Wolfgang J.; Tankov, Peter - In: Mathematics and financial economics 12 (2018) 4, pp. 589-614

Persistent link: https://www.econbiz.de/10011963883

Continuous-time finance

Merton, Robert C. - 1990 - rev. and first publ. in paperback 1992

Persistent link: https://www.econbiz.de/10000138332

Globally evolutionarily stable portfolio rules

Evstigneev, Igor V.; Hens, Thorsten; Schenk-Hoppé, … - In: Journal of economic theory 140 (2008) 1, pp. 197-228

Persistent link: https://www.econbiz.de/10003725543

Handbook of financial markets : dynamics and evolution

Hens, Thorsten (ed.); … - 2009

Persistent link: https://www.econbiz.de/10003778106

On model testing in financial economics

Jarrow, Robert A. - In: The financial review : the official publication of the … 45 (2010) 2, pp. 277-285

Persistent link: https://www.econbiz.de/10003974068

Globally evolutionarily stable portfolio rules

Evstigneev, Igor V. (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003237585

A financial market with interacting investors : does an equilibrium exist?

Frei, Christoph; Reis, Gonçalo dos - In: Mathematics and financial economics 4 (2011) 3, pp. 161-182

Persistent link: https://www.econbiz.de/10009152552

A simple asset pricing model with heterogeneous agents, uninsurable labor income and limited stock market participation

Ahn, Seryoong; Choi, Kyoung Jin; Koo, Hyeng-keun - In: Journal of banking & finance 55 (2015), pp. 9-22

Persistent link: https://www.econbiz.de/10011377843

Asset pricing of financial institutions : the cross-section of expected stock returns in the property/liability insurance industry

Ben Ammar, Semir; Eling, Martin; Milidonis, Andreas - 2015

We conduct a comprehensive asset pricing analysis for the U.S. property/liability insurance industry using monthly data from 1988 to 2015. We find that state-of-the-art models such as the Fama and French (2015) five-factor model cannot explain the returns of property/liability insurance stocks...

Persistent link: https://www.econbiz.de/10011345060