30 search results - page 3 / 6 » Robust estimation in Capital Asset Pricing Model |
HICSS
2007
IEEE
15 years 3 months ago
2007
IEEE
Abstract— The electricity price duration curve (EPDC) represents the probability distribution function of the electricity price considered as a random variable. The price uncerta...
ICNC
2005
Springer
15 years 3 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...
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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...
ISIPTA
2003
IEEE
15 years 2 months ago
2003
IEEE
The European call option prices have well-known formulae in the Cox-RossRubinstein model [2], depending on the volatility of the underlying asset. Nevertheless it is hard to give ...
Lecture Notes
These notes cover several topics such as Review of Statistics, Least Squares and Maximum Likelihood Estimation, Index Models, Testing CAPM and Multifactor Models
Event Studies, Ti...