The Term Structure of Sharpe Ratios and Arbitrage-Free Asset Pricing in Continuous Time
Year of publication: |
2018
|
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Authors: | Beissner, Patrick ; Rosazza Gianin, Emanuela |
Publisher: |
München und Berlin : Ludwig-Maximilians-Universität München und Humboldt-Universität zu Berlin, Collaborative Research Center Transregio 190 - Rationality and Competition |
Subject: | term structures | sharpe ratio | incomplete markets | asset pricing | time inconsistency | arbitrage | (time-delayed) volterra equations |
Series: | Discussion Paper ; 72 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 1030886164 [GVK] hdl:10419/185742 [Handle] RePEc:rco:dpaper:72 [RePEc] |
Source: |
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