9 search results - page 2 / 2 » The game-theoretic capital asset pricing model |
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...
ICNC
2005
Springer
13 years 11 months ago
2005
Springer
Using an agent-based multi-asset artificial stock market, we simulate the survival dynamics of investors with different risk preferences. It is found that the survivability of in...
Book
This is a great draft book about stochastic calculus and finance. It covers large number of topics such as Introduction to Probability Theory, Conditional Expectation, Arbitrage Pr...
EOR
2008
13 years 6 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...