30 search results - page 4 / 6 » Robust estimation in Capital Asset Pricing Model |
SIAMFM
2011
14 years 12 days ago
2011
We consider model-free pricing of digital options, which pay out if the underlying asset has crossed both upper and lower barriers. We make only weak assumptions about the underly...
EOR
2008
14 years 9 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...
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ENVSOFT
2006
14 years 9 months ago
2006
: Since Keynes (1930) and Hicks (1939) propounded their theory of normal backwardation, the issue of whether hedgers must pay speculators an insurance premium has remained controve...
SIAMJO
2010
14 years 4 months ago
2010
When liquidating a portfolio of large blocks of risky assets, an institutional investor wants to minimize the cost as well as the risk of execution. An optimal execution strategy ...
GFKL
2006
Springer
15 years 1 months ago
2006
Springer
Finding the right pricing for music downloads is of ample importance to the recording industry and music download service providers. For the recently introduced music downloads, re...