The Paper presents a continuous-time model for the timing of riskless arbitrage when the mispricing between two equivalent portfolios varies stochastically through time under the exogenous impact of liquidity trades and persistent prospect that the arbitrage bubble can 'burst' .

Recalling the class of risk measures introduced by Stone (1973), the authors survey measures from several academic disciplines including psychology, economics and finance, which have been introduced since 1973. They introduce a general class of risk measures which extends Stone's class to...

This paper extends the model of Heston and Rouwenhorst (1994) to investigate the effects of size, value, industry, and country factors on the volatility of stock returns in international stock markets. Country factors dominate the other factors in explaining the return variation. The second most...

The purpose of this paper is to build an asset pricing model for emerging markets using higher moments. It is well-known that conventional CAPM models fail to explain the risk present in the data. The contribution of this paper is to use an extended CAPM that explicitly involves measures of...

An interesting literature in management science and operations research has dealt with the link between expected utility, risk and preference switches over gambles due to changes in wealth. However, no attention is paid to the specific nature of the gambles. All gambles are essentially assumed...

In this paper the integrated risk measure of Damant and Satchell (1996) is used to formulate an investor's utility function and the properties of this function are investigated. The authors calibrate their utility function for a typical UK investor who would hold different proportions of equity....