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Empirical content of capital asset pricing model (CAPM) and arbitrage pricing theory (APT) across time
Soufian, Nasreen - 2001
Persistent link: https://www.econbiz.de/10001608786
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On the fundamental theorem of asset pricing: random constraints and bang-bang no-arbitrage criteria
Evstigneev, Igor V. (contributor);  … - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001825768
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On the fundamental theorem of asset pricing : random constraints and bang-bang no-arbitrage criteria
Evstigneev, Igor V.; Schürger, Klaus; Taksar, Michael I. - In: Mathematical finance : an international journal of … 14 (2004) 2, pp. 201-221
Persistent link: https://www.econbiz.de/10002032691
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Econometric issues related to errors in variables in financial models
Maddala, Gangadharrao S. - In: Econometrics and economic theory in the 20th century : …, (pp. 414-432). 1998
Persistent link: https://www.econbiz.de/10001548940
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Arbitrage, factor structure and mean-variance analysis on large asset markets
Chamberlain, Gary; Rothschild, Michael - 1982
Persistent link: https://www.econbiz.de/10001517477
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The estimation of multiple factor models and their applications : the Swiss equity market
Beckers, Stan - In: Finanzmarkt und Portfolio-Management 7 (1993) 1, pp. 24-45
Persistent link: https://www.econbiz.de/10001219062
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Zum Einsatz "fundamentaler" Faktorenmodelle im Portfoliomanagement
Hamerle, Alfred - In: Die Betriebswirtschaft : DBW 58 (1998) 1, pp. 38-48
Persistent link: https://www.econbiz.de/10001236493
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Portfolio theory and asset pricing
Elton, Edwin J.; Gruber, Martin Jay - 1999
Persistent link: https://www.econbiz.de/10001409082
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No arbitrage in discrete time under portfolio constraints
Carassus, Laurence; Pham, Huyên; Touzi, Nizar - In: Mathematical finance : an international journal of … 11 (2001) 3, pp. 315-329
Persistent link: https://www.econbiz.de/10001651141
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Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
Chamberlain, Gary - 2010
We examine the implications of arbitrage in a market with many assets. The absence of arbitrage opportunities implies that the linear functionals that give the mean and cost of a portfolio are continuous; hence there exist unique portfolios that represent these functionals. These portfolios span...
Persistent link: https://www.econbiz.de/10012763049