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Equilibrium Pricing in Incomplete Markets

Jouini, Elyès; Bizid, Abdelhamid - EconWPA - 2003

Given exogenously the price process of some assets, we constrain the price process of other assets, which are characterized by their final pay-offs. We deal with an incomplete market framework in a discrete time model and assume the existence of the equilibrium. In this setup, we derive...

Persistent link: https://www.econbiz.de/10005413106

Market imperfections, equilibrium and arbitrage

Jouini, Elyès - EconWPA - 2003

The theory of asset pricing, which takes its roots in the Arrow-Debreu model (Theory of value [1959, chap. 7]), the Black and Sholes formula (1973) and Cox and Ross (1976 a and b), has been formalized in a general framework by Harrison and Kreps (1979), Harrison and Pliska (1979) and Kreps...

Persistent link: https://www.econbiz.de/10005076947

Portfolio Selection with Probabilistic Utility, Bayesian Statistics, and Markov Chain Monte Carlo

Rossi, Pietro; Tavoni, Massimo; Cocco, Flavio; … - EconWPA - 2002

We propose a novel portfolio selection approach that manages to ease some of the problems that characterise standard expected utility maximisation. The optimal portfolio is no longer defined as the extremum of a suitably chosen utility function: the latter, instead, is reinterpreted as the...

Persistent link: https://www.econbiz.de/10005413052

Equity Allocation and Portfolio Selection in Insurance: A simplified Portfolio Model

Taflin, Erik - EconWPA - 1999

A quadratic discrete time probabilistic model, for optimal portfolio selection in (re-)insurance is studied. For positive values of underwriting levels, the expected value of the accumulated result is optimized, under constraints on its variance and on annual ROE's. Existence of a unique...

Persistent link: https://www.econbiz.de/10005125679

Portfolio Selection with Two-Stage Preferences

Taboga, Marco - EconWPA - 2005

We propose a model of portfolio selection under ambiguity, based on a two-stage valuation procedure which disentangles ambiguity and ambiguity aversion. The model does not imply 'extreme pessimism' from the part of the investor, as multiple priors models do. Furthermore, its analytical...

Persistent link: https://www.econbiz.de/10005134917

HEURISTICS USED BY HUMANS WITH PREFRONTAL CORTEX DAMAGE: TOWARD AN EMPIRICAL MODEL OF PHINEAS GAGE

Houser, Daniel; McCabe, Kevin; Keane, Michael; Bechara, … - EconWPA - 2003

by pre-specifying a set of candidate decision-making heuristics and then assigning each subject to the heuristic that … type classification approach introduced by Houser, Keane and McCabe (2002) to investigate the heuristics used by subjects … that it does not require us to specify the nature of subjects’ heuristics in advance. Rather, both the number and nature of …

Persistent link: https://www.econbiz.de/10005062723

Intertemporally non-separable monetary-asset risk adjustment and aggregation

Barnett, William A.; Wu, Shu - EconWPA - 2004

Modern aggregation theory and index number theory were introduced into monetary economics by Barnett (1980). The widely used Divisia monetary aggregates were based upon that paper. A key result upon which the rest of the theory depended was Barnett’s derivation of the user-cost price of...

Persistent link: https://www.econbiz.de/10005412580

DATA MINING SOBRE EL BETA EN ESPAÑA

Rubio, Fernando - EconWPA - 2004

Se han analizado 6 grupos de variables en un intento de explicar el retorno futuro de las acciones utilizando el CAPM … permite sostener la tesis central del CAPM. Ninguna de las betas de 6 grupos de variables es capaz de discriminar …

Persistent link: https://www.econbiz.de/10005413097

CAPITAL ASSET PRICING MODEL (CAPM) Y ARBITRAGE PRICING THEORY (APT): UNA NOTA TÉCNICA

Rubio, Fernando - EconWPA - 2004

Capital Asset Pricing Model (CAPM) y el Arbitrage Pricing Theory (APT), los dos modelos de valuación de activos de capital … realidad. Además, se presentan aplicaciones prácticas del CAPM y un análisis de las principales diferencias entre ambos modelos. …

Persistent link: https://www.econbiz.de/10005413116

Analysis of UAE Bank Stocks

Rao, Ananth - EconWPA - 2003

and riskiness. Capital Asset Pricing Model (CAPM) a market equilibrium model is applied to these seven bank’s stocks. The … general models like multi-factor CAPM and arbitrage pricing theory (APT) models could be more appropriate models for analysing …

Persistent link: https://www.econbiz.de/10005413135