Works matching DE "ARBITRAGE pricing theory"

Results: 116

A simple characterization of tightness for convex solid sets of positive random variables.

Published in:

Positivity, 2018, v. 22, n. 4, p. 1015, doi. 10.1007/s11117-018-0556-7

By:

Koch-Medina, Pablo;
Munari, Cosimo;
Šikić, Mario

Publication type:

Article

Core equivalences for equilibria supported by non-linear prices.

Published in:

Positivity, 2013, v. 17, n. 3, p. 621, doi. 10.1007/s11117-012-0195-3

By:

Basile, Achille;
Graziano, Maria

Publication type:

Article

Game-theoretic model of agents' interaction on a two-stage market with a random factor.

Published in:

Automation & Remote Control, 2014, v. 75, n. 9, p. 1677, doi. 10.1134/S0005117914090136

By:

Vasin, A.;
Daylova, E.

Publication type:

Article

COMPARATIVE ANALYSIS OF INVESTMENT RETURN CALCULATIONS BETWEEN SINGLE INDEX MODEL (SIM), CAPITAL ASSET PRICING MODEL (CAPM), AND ARBITRAGE PRICING THEORY (APT) IN 8 MINING COMPANY SECTORS.

Published in:

Eduvest: Journal Of Universal Studies, 2024, v. 4, n. 9, p. 7560

By:

Noviani, Dinda;
Natigor S., Dayan Hakim;
Sudaryo, Yoyo;
Sofiati, Nunung Ayu;
Sajekti, Tjipto

Publication type:

Article

ANALYSIS OF EXPECTED STOCK RETURNS IN 2020 - 2022 USING ARBITRAGE PRICING THEORY (STUDY ON STOCKS INCORPORATED WITH THE IDX-30 INDEX ON THE INDONESIA STOCK EXCHANGE).

Published in:

Eduvest: Journal Of Universal Studies, 2023, v. 3, n. 3, p. 626, doi. 10.59188/eduvest.v3i3.777

By:

Alfredo, Harold Kevin

Publication type:

Article

CALCULATING EXPECTED STOCK RETURN USING ARBITRAGE PRICING THEORY MODEL AND ANALYZING INDEPENDENT VARIABLES THAT AFFECT STOCK EXPECTED RETURN (ANALYSIS CONDUCTED ON KOMPAS100 STOCK ISSUERS FOR THE PERIOD 2020 - 2022).

Published in:

Journal Research of Social Science, Economics & Management, 2023, v. 2, n. 9, p. 2023, doi. 10.59141/jrssem.v2i09.432

By:

Alfredo, Harold Kevin

Publication type:

Article

On the arbitrage price of European call options.

Published in:

Stochastic Models, 2017, v. 33, n. 1, p. 48, doi. 10.1080/15326349.2016.1200473

By:

Ernst, Philip

Publication type:

Article

Arbitrage Theory with State-Price Deflators.

Published in:

Stochastic Models, 2013, v. 29, n. 3, p. 306, doi. 10.1080/15326349.2013.808902

By:

Rambaud, SalvadorCruz

Publication type:

Article

Macroeconomic State Variables and Stock Market Performance: A Systematic Review and Future Research Agenda.

Published in:

FIIB Business Review, 2024, v. 13, n. 2, p. 172, doi. 10.1177/2319714521995622

By:

Lone, Umer Mushtaq;
Darzi, Mushtaq Ahmad;
Bhat, Suhail Ahmad

Publication type:

Article

Nonlinear dependencies in the Fama and French three-factor model.

Published in:

Investment Analysts Journal, 2023, v. 52, n. 2, p. 106, doi. 10.1080/10293523.2023.2179162

By:

Bandurski, Jakub;
Postek, Łukasz

Publication type:

Article

A Influência das Condições do Mercado Acionário e da Política Monetária no Comportamento dos Indicadores de Risco Tamanho, Índice Book-to-market e Momento, no Mercado Acionário Brasileiro.

Published in:

Revista de Ciências da Administração, 2011, v. 13, n. 29, p. 152, doi. 10.5007/2175-8077.2011v13n29p152

By:

Mussa, Adriano;
Securato, José Roberto;
dos Santos, José Odálio;
Famá, Rubens

Publication type:

Article

Macroeconomic Forces and Arbitrage Pricing Theory.

Published in:

Journal of Comparative Asian Development, 2017, v. 16, n. 1, p. 1, doi. 10.1080/15339114.2017.1297245

By:

French, Jordan

Publication type:

Article

Utilizarea comparată a modelelor CAPM şi APT în analizele bursiere.

Published in:

Romanian Statistical Review, 2013, n. Sup, p. 295

By:

PIELEANU, Florin;
COCONOIU, Diana

Publication type:

Article

The APT Model and its Applicability in Romania's Case.

Published in:

Romanian Statistical Review, 2012, n. Sup, p. 103

By:

PIELEANU, Florin Dan

Publication type:

Article

Arbitrage pricing in non-Walrasian financial markets.

Published in:

Economic Theory, 2018, v. 66, n. 4, p. 951, doi. 10.1007/s00199-017-1074-8

By:

Carvajal, Andrés

Publication type:

Article

View Fusion Vis-à-Vis a Bayesian Interpretation of Black-Litterman for Portfolio Allocation.

Published in:

Journal of Financial Data Science, 2023, v. 5, n. 3, p. 23, doi. 10.3905/jfds.2023.1.132

By:

Spears, Trent;
Zohren, Stefan;
Roberts, Stephen

Publication type:

Article

Pointwise Arbitrage Pricing Theory in Discrete Time.

Published in:

Mathematics of Operations Research, 2019, v. 44, n. 3, p. 1034, doi. 10.1287/moor.2018.0956

By:

Burzoni, Matteo;
Frittelli, Marco;
Hou, Zhaoxu;
Maggis, Marco;
Obłój, Jan

Publication type:

Article

Information in the Term Structure: A Forecasting Perspective.

Published in:

Management Science, 2021, v. 67, n. 8, p. 5255, doi. 10.1287/mnsc.2020.3715

By:

Doshi, Hitesh;
Jacobs, Kris;
Liu, Rui

Publication type:

Article

A simple derivation of risk-neutral probability in the binomial option pricing model.

Published in:

International Journal of Mathematical Education in Science & Technology, 2015, v. 46, n. 1, p. 142, doi. 10.1080/0020739X.2014.936979

By:

Orosi, Greg

Publication type:

Article

DETERMINANTES MACROECONÓMICOS DE LA VALORACIÓN DE ACCIONES: CASO ALIANZA DEL PACÍFICO.

Published in:

Dimensión Empresarial, 2020, v. 18, n. 1, p. 1, doi. 10.15665/dem.v18i(1).2066

By:

Chávez Muñoz, Nelson Manolo;
Ríos Hernández, Héctor Fabio;
Carmona Muñoz, Diana Milena

Publication type:

Article

A Combined Approach to the Inference of Conditional Factor Models.

Published in:

Journal of Business & Economic Statistics, 2015, v. 33, n. 2, p. 203, doi. 10.1080/07350015.2014.940082

By:

Li, Yan;
Su, Liangjun;
Xu, Yuewu

Publication type:

Article

Drivers of grain price volatility: a cursory critical review.

Published in:

Agricultural Economics / Zemědělská Ekonomika, 2018, v. 64, n. 8, p. 647, doi. 10.17221/55/2017-AGRICECON

By:

SANTERAMO, FABIO GAETANO;
LAMONACA, EMILIA;
CONTÒ, FRANCESCO;
NARDONE, GIANLUCA;
STASI, ANTONIO

Publication type:

Article

The market efficiency analysis of China's copper options based on risk-free arbitrages.

Published in:

Applied Economics, 2024, v. 56, n. 15, p. 1834, doi. 10.1080/00036846.2023.2301221

By:

Zhang, Huiming;
Ma, Zhen;
Qian, Siji

Publication type:

Article

Equity prices and fundamentals: a DDM-APT mixed approach.

Published in:

Review of Quantitative Finance & Accounting, 2017, v. 49, n. 3, p. 661, doi. 10.1007/s11156-016-0604-y

By:

Jawadi, Fredj;
Prat, Georges

Publication type:

Article

The makings of an information leader: the intraday price discovery process for individual stocks in the DJIA.

Published in:

Review of Quantitative Finance & Accounting, 2012, v. 38, n. 3, p. 347, doi. 10.1007/s11156-011-0232-5

By:

Simpson, Marc;
Moreno, Jose;
Ozuna, Teofilo

Publication type:

Article

Beyond CAPM: an innovative factor model to optimize the risk and return trade-off.

Published in:

Journal of Business Economics & Management, 2014, v. 15, n. 4, p. 615, doi. 10.3846/16111699.2013.770789

By:

Andriotto, Mauro;
Teti, Emanuele

Publication type:

Article

Empirical Analysis of the Relationship Between Macroeconimic Factors and Stock Returns in Nigeria.

Published in:

Journal of Accounting & Management (2284-9459), 2018, v. 8, n. 3, p. 7

By:

English, Alex Ola

Publication type:

Article

Macroeconomic vs. Statistical APT Approach in the Athens Stock Exchange.

Published in:

International Journal of Business, 2012, v. 17, n. 1, p. 39

By:

Spyridis, Theodoros;
Sevic, Zeljko;
Theriou, Nikolaos

Publication type:

Article

The Impact of the Last Two Presidential Periods on the Performance of the Indonesia Stock Exchanges: An Approach of Arbitrage Pricing Theory.

Published in:

Contemporary Economics, 2024, v. 18, n. 3, p. 301, doi. 10.5709/ce.1897-9254.539

By:

Garnia, Erna;
Riadi, Deden Rizal;
Tahmat, T.;
Nainggolan, Ida Margareta

Publication type:

Article

Internationalisation of SMEs -- A framework to determine their cost of equity capital.

Published in:

International Journal of Management Cases, 2020, v. 22, n. 1, p. 54

By:

Britzelmaier, Bernd

Publication type:

Article

Implementation of Optimal Scheduling Algorithm for Multi-Functional Battery Energy Storage System.

Published in:

Energies (19961073), 2019, v. 12, n. 7, p. 1339, doi. 10.3390/en12071339

By:

Cha, Hee-Jun;
Won, Dongjun;
Lee, Sung-Eun

Publication type:

Article

DIVIDEND AND EXCESS RETURN IN CHINA.

Published in:

Asian Academy of Management Journal of Accounting & Finance, 2023, v. 19, n. 2, p. 105, doi. 10.21315/aamjaf2023.19.2.4

By:

Jiaqi Da;
Md. Nassir, Annuar;
Tek Wei Saw, Andrew;
Hui Zhang;
Wei Theng Lau

Publication type:

Article

Are grain markets in Niger driven by speculation?

Published in:

Oxford Economic Papers, 2016, v. 68, n. 3, p. 714, doi. 10.1093/oep/gpw012

By:

Bonjean, Catherine Araujo;
Simonet, Catherine

Publication type:

Article

A Note on Interaction between Financial Markets.

Published in:

Asia-Pacific Financial Markets, 2000, v. 7, n. 2, p. 179, doi. 10.1023/A:1010026032246

By:

Takahashi, Hajime

Publication type:

Article

Forecasting risk and return of listed real estate:: A simulation approach with geometric Brownian motion for the German stock market.

Published in:

Zeitschrift für Immobilienökonomie, 2024, v. 10, n. 1/2, p. 1, doi. 10.1365/s41056-024-00070-4

By:

Lausberg, Carsten;
Brandt, Felix

Publication type:

Article

Arbitraj Fiyatlama Teorisinin Türkiye ekonomisinde geçerliliği: Küresel ekonomik kriz bağlamında ampirik bir analiz.

Published in:

Gazi Journal of Economics & Business, 2020, v. 6, n. 2, p. 179, doi. 10.30855/gjeb.2020.6.2.006

By:

Uslu, Hüseyin;
Uzkaralar, Önder

Publication type:

Article

Accuracy of Capital Asset Pricing Model and Arbitrage Pricing Theory in Predicting Stock Return.

Published in:

Journal of Namibian Studies, 2023, v. 34, p. 1539

By:

Hussein, Zahraa A.;
Mohammed, Mohammed J.

Publication type:

Article

The Asset Manager's Dilemma: How Smart Beta Is Disrupting the Investment Management Industry.

Published in:

Financial Analysts Journal, 2016, v. 72, n. 1, p. 15, doi. 10.2469/faj.v72.n1.1

By:

Kahn, Ronald N.;
Lemmon, Michael

Publication type:

Article

Investor-friendly and robust portfolio selection model integrating forecasts for financial tendency and risk-averse.

Published in:

Annals of Operations Research, 2018, v. 269, n. 1/2, p. 205, doi. 10.1007/s10479-017-2458-7

By:

Hasuike, Takashi;
Mehlawat, Mukesh Kumar

Publication type:

Article

Building a type-2 fuzzy regression model based on credibility theory and its application on arbitrage pricing theory.

Published in:

IEEJ Transactions on Electrical & Electronic Engineering, 2016, v. 11, n. 6, p. 720, doi. 10.1002/tee.22297

By:

Wei, Yicheng;
Watada, Junzo

Publication type:

Article

Sectoral Application of Asset Pricing Models on the Nigerian Stock Exchange: A Comparative Approach.

Published in:

Acta Universitatis Danubius: Œconomica, 2019, v. 15, n. 3, p. 404

By:

Taofeek, Agbatogun O.;
Ayodeji, Olowe R.

Publication type:

Article

Do Spot Prices Move towards Futures Prices? A Study on Crude Oil Market.

Published in:

Acta Universitatis Danubius: Œconomica, 2012, v. 8, n. 5, p. 166

By:

Nicolau, Mihaela

Publication type:

Article

Integer programs for margining option portfolios by option spreads with more than four legs.

Published in:

Computational Management Science, 2013, v. 10, n. 1, p. 51, doi. 10.1007/s10287-012-0159-x

By:

Matsypura, D.;
Timkovsky, V.G.

Publication type:

Article

Control of Energy Storage with Market Impact: Lagrangian Approach and Horizons.

Published in:

Operations Research, 2019, v. 67, n. 1, p. 1, doi. 10.1287/opre.2018.1761

By:

Cruise, James;
Zachary, Stan;
Flatley, Lisa;
Gibbens, Richard

Publication type:

Article

Inverse Optimization: A New Perspective on the Black-Litterman Model.

Published in:

Operations Research, 2012, v. 60, n. 6, p. 1389, doi. 10.1287/opre.1120.1115

By:

Bertsimas, Dimitris;
Gupta, Vishal;
Paschalidis, Ioannis Ch.

Publication type:

Article

NEGISHI ON EDGEWORTH ON JEVON'S LAW OF INDIFFERENCE, WALRAS'S EQUILIBRIUM, AND THE ROLE OF LARGE NUMBERS: A CRITICAL ASSESSMENT.

Published in:

Cahiers d'Economie Politique, 2012, n. 63, p. 109, doi. 10.3917/cep.063.0109

By:

Donzelli, Franco

Publication type:

Article

COMBINING LOCAL AND GLOBAL MARKETS IN ASSET PRICING IN EMERGING MARKETS: EVIDENCE FROM THREE BRICS NATIONS.

Published in:

Journal of Developing Areas, 2015, v. 49, n. 3, p. 365, doi. 10.1353/jda.2015.0167

By:

Hakim, Shabir Ahmad;
Hamid, Zarinah;
Mydin Meera, Ahamed Kameel

Publication type:

Article

Determinants of premiums of Indian ADRs: An empirical investigation.

Published in:

Decision (0304-0941), 2011, v. 38, n. 3, p. 39

By:

Bhattacharjee, Kaushik;
Reddy, V. Nagi

Publication type:

Article

Can negative electricity prices encourage inefficient electrical energy storage devices?

Published in:

International Journal of Environmental Studies, 2014, v. 71, n. 6, p. 862, doi. 10.1080/00207233.2014.966968

By:

Barbour, Edward;
Wilson, Grant;
Hall, Peter;
Radcliffe, Jonathan

Publication type:

Article

The British Lookback Option with Fixed Strike.

Published in:

Applied Mathematical Finance, 2015, v. 22, n. 3, p. 238, doi. 10.1080/1350486X.2015.1019156

By:

Kitapbayev, Yerkin

Publication type:

Article