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Portfolio choice and asset pricing under model uncertainty
Wu, Lue - 2007
Persistent link: https://www.econbiz.de/10004938517
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Bayesian methods in finance
Račev, Svetlozar T.; Hsu, John S. J.; Bagasheva, Biliana S. - 2008
-VARIANCE EFFICIENCY -- INEFFICIENCY MEASURES IN TESTING THE CAPM -- TESTING THE APT -- RETURN PREDICTABILITY. …
Persistent link: https://www.econbiz.de/10012684397
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Global risk premia on international stock and bond markets
Oertmann, Peter - 1997
Persistent link: https://www.econbiz.de/10000621233
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The economics of financial markets
Bailey, Roy E. - 2005
asset pricing model (CAPM). Arbitrage plays a pivotal role in finance and is studied in a variety of contexts, including the … APT model of asset prices. Methods for the empirical evaluation of CAPM and APT are also discussed, together with the … volatility of asset prices, the intertemporal CAPM and the equity premium puzzle. An analysis of bond contracts leads into an …
Persistent link: https://www.econbiz.de/10011479686
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Linear factor models in finance
Knight, John; Knight, John L.; Satchell, Stephen - 2005
Persistent link: https://www.econbiz.de/10001973380
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Cross-section without factors : correlation risk, strings and asset prices
Distaso, Walter; Mele, Antonio; Vilkov, Grigory - 2021 - This version: January 13, 2021
Many asset pricing theories treat the cross-section of returns volatility and correlations as two intimately related quantities driven by common factors, which hinders achieving a neat definition of a correlation premium. We formulate a model without factors, but with a continuum of securities...
Persistent link: https://www.econbiz.de/10012421289
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The no-arbitrage pricing of non-traded assets
Jarrow, Robert A. - In: Annals of finance 19 (2023) 3, pp. 401-418
Persistent link: https://www.econbiz.de/10014380572
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Correlation risk, strings and asset prices
Mele, Antonio; Distaso, Walter; Vilkov, Grigory - 2019
Persistent link: https://www.econbiz.de/10012181112
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Fixed-income arbitrage : analytical techniques and strategies
Wong, M. A. - 1993
Persistent link: https://www.econbiz.de/10000338732