4 search results - page 1 / 1 » The Behavior of Risk and Market Prices of Risk Over the Nasd... |
MANSCI
2010
13 years 1 days ago
2010
We exploit the information in the options market to study the variations of return risk and market prices of different sources of risk during the rise and fall of the Nasdaq marke...
KDD
2009
ACM
14 years 5 months ago
2009
ACM
A recent study by two prominent finance researchers, Fama and French, introduces a new framework for studying risk vs. return: the migration of stocks across size-value portfolio ...
IWCLS
1999
Springer
13 years 9 months ago
1999
Springer
In this paper we describe a simple model of adaptive agents of different types, represented by Learning Classifier Systems (LCS), which make investment decisions about a risk fre...
EOR
2008
13 years 5 months ago
2008
We develop a multi-stage stochastic programming model for international portfolio management in a dynamic setting. We model uncertainty in asset prices and exchange rates in terms...