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A new approach to statistical arbitrage : strategies based on dynamic factor models of prices and their performance

Focardi, Sergio M.; Fabozzi, Frank J.; Mitov, Ivan K. - In: Journal of banking & finance 65 (2016), pp. 134-155

Persistent link: https://www.econbiz.de/10011634338

Pointwise arbitrage pricing theory in discrete time

Burzoni, Matteo; Frittelli, Marco; Hou, Zhaoxu; Maggis, … - In: Mathematics of operations research 44 (2019) 3, pp. 1034-1057

Persistent link: https://www.econbiz.de/10012105893

The analysis of the arbitrage pricing model on the stock return : a case of Athens stock market

Khudoykulov, Khurshid - In: American journal of finance and accounting 5 (2017) 1, pp. 51-63

Persistent link: https://www.econbiz.de/10011834005

Arbitrage pricing theory in ergodic markets

Frahm, Gabriel - In: International journal of theoretical and applied finance 21 (2018) 5, pp. 1-28

Persistent link: https://www.econbiz.de/10011903768

No-arbitrage pricing for dividend-paying securities in discrete-time markets with transaction costs

Bielecki, Tomasz R.; Cialenco, Igor; Rodriguez, Rodrigo - In: Mathematical finance : an international journal of … 25 (2015) 4, pp. 673-701

Persistent link: https://www.econbiz.de/10011350542

Data-driven investigation into anomaly trading strategies : evidence with econometrics

French, Jordan - 2019

Persistent link: https://www.econbiz.de/10012126157

Systematic limited arbitrage and the cross-section of stock returns : evidence from exchange traded funds

DeLisle, R. Jared; McTier, Brian C.; Smedema, Adam R. - In: Journal of banking & finance 70 (2016), pp. 118-136

Persistent link: https://www.econbiz.de/10011635135

Investing in the asset growth anomaly across the globe

Li, Xi; Sullivan, Rodney N. - In: Journal of investment management : JOIM 13 (2015) 4, pp. 87-107

Persistent link: https://www.econbiz.de/10011640402

The term structure of sharpe ratios and arbitrage-free asset pricing in continuous time

Beißner, Patrick; Rosazza Gianin, Emanuela - 2018

Recent empirical studies suggest a downward sloping term structure of Sharpe ratios. We present a theoretical framework in continuous time that can cope with such a non-flat forward curve of risk prices. The approach departs from an arbitrage-free and incomplete market setting when different...

Persistent link: https://www.econbiz.de/10011899208

Chapter 10 Arbitrage, state prices and portfolio theory

Dybvig, Philip H.; Ross, Stephen A. - 2003

preferences, and solving them for probabilities gives us beliefs. We look at two popular asset pricing models, the CAPM and the … APT, as well as complete-markets pricing. In the case of the CAPM, the first-order conditions link nicely to the …

Persistent link: https://www.econbiz.de/10014023861