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Lecture Notes
These notes cover several topics such as The classic capital asset pricing model, The CAPM in general equilibrium, Infinite horizon economies, Continuous time models, Asset pricing...
IJAR
2008
13 years 4 months ago
2008
Using Shafer and Vovk's game-theoretic framework for probability, we derive a capital asset pricing model from an efficient market hypothesis, with no assumptions about the b...
JAMDS
2000
13 years 4 months ago
2000
Bian and Dickey (1996) developed a robust Bayesian estimator for the vector of regression coefficients using a Cauchy-type g-prior. This estimator is an adaptive weighted average o...
CORR
2002
Springer
13 years 4 months ago
2002
Springer
In a seminal paper in 1973, Black and Scholes argued how expected distributions of stock prices can be used to price options. Their model assumed a directed random motion for the ...
ICCSA
2005
Springer
13 years 10 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...