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Arbitrage and leverage strategies in bubbles under synchronization risks and noise-trader risks

Tan, Senren; Zhuo, Jin; Wu, Fuke - In: Economic modelling 49 (2015), pp. 331-343

Persistent link: https://www.econbiz.de/10011439593

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

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

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

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

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

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

Using the capital asset pricing model and arbitrage pricing theory in capital budgeting

Young, Saul David; Saadi, Samir - In: Capital budgeting valuation : financial analysis for …, (pp. 363-380). 2011

Persistent link: https://www.econbiz.de/10009237034

Arbitrage-free affine models of the forward price of foreign currency

Durham, J. Benson - 2014

Forward foreign exchange contracts embed not only expected depreciation but also a sizable premium, which complicates inferences about anticipated returns. This study derives arbitrage-free affine forward currency models (AFCMs) with closed-form expressions for both unobservable variables. Model...

Persistent link: https://www.econbiz.de/10010393225

The mathematics of arbitrage

Delbaen, Freddy; Schachermayer, Walter - 2006

Persistent link: https://www.econbiz.de/10002123958

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