30 search results - page 2 / 6 » Robust estimation in Capital Asset Pricing Model |
STOC
2012
ACM
11 years 8 months ago
2012
ACM
Option contracts are a type of financial derivative that allow investors to hedge risk and speculate on the variation of an asset’s future market price. In short, an option has...
ICCSA
2005
Springer
13 years 11 months ago
2005
Springer
Abstract. A company needs to implement several make-to-stock policies apart from a regular make-to-order production, so that the capacity of expensive resources can be fully utiliz...
ICANN
2001
Springer
13 years 10 months ago
2001
Springer
We introduce a simple asset pricing model with two types of adaptively learning traders, fundamentalists and technical traders. Traders update their beliefs according to past perfo...
MANSCI
2010
13 years 4 months ago
2010
A key result of the Capital Asset Pricing Model (CAPM) is that the market portfolio— the portfolio of all assets in which each asset’s weight is proportional to its total mark...
Lecture Notes
These notes cover several topics such as Predicting Asset Returns, Linear Factor Model, Linear Factor Models in SDF Form, Consumption-Based Asset Pricing, Riskneutral Distributions...