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On Estimating the Expected Rate of Return in Diffusion Price Models with Application to Estimating the Expected Return on the Market
Goldenberg, David Harold - 2016
This paper derives and numerically simulates maximum likelihood estimators for the drift in several important diffusion price models. The time series convergence properties of these estimators are compared to those of standard estimators including the geometric and arithmetic means. Merton...
Persistent link: https://www.econbiz.de/10012749794
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Systematic risk and the theory of the firm : A reexamination
Goldenberg, David H.; Chiang, Raymond - In: Journal of Accounting and Public Policy 2 (1983) 1, pp. 63-72
Persistent link: https://www.econbiz.de/10005546096
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A unified method for pricing options on diffusion processes
Goldenberg, David H. - In: Journal of Financial Economics 29 (1991) 1, pp. 3-34
Persistent link: https://www.econbiz.de/10005477967
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Beyond Greed and Fear: Hersh Shefrin, Oxford University Press, New York, 2002, pp. 368, 0-19-516121-1
Goldenberg, David H. - In: Journal of Behavioral and Experimental Economics … 33 (2004) 1, pp. 131-134
Persistent link: https://www.econbiz.de/10005380960
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Sample path properties of futures prices
Goldenberg, David H. - In: Journal of Futures Markets 6 (1986) 1, pp. 127-140
Persistent link: https://www.econbiz.de/10011197040
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Comment on “Usefulness of Treasury Bill Futures As Hedging Instruments”
Goldenberg, David H. - In: Journal of Futures Markets 3 (1983) 2, pp. 225-226
Persistent link: https://www.econbiz.de/10011196833
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Memory and equilibrium futures prices
Goldenberg, David H. - In: Journal of Futures Markets 9 (1989) 3, pp. 199-213
Persistent link: https://www.econbiz.de/10011197004
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THE ARBITRAGE PRICING THEORY AND COST-OF-CAPITAL ESTIMATION: THE CASE OF ELECTRIC UTILITIES
Goldenberg, David H.; Robin, Ashok J. - In: Journal of Financial Research 14 (1991) 3, pp. 181-196
Persistent link: https://www.econbiz.de/10010889631
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On Estimating the Expected Rate of Return in Diffusion Price Models with Application to Estimating the Expected Return on the Market
Goldenberg, David H.; Schmidt, Raymond J. - In: Journal of financial and quantitative analysis : JFQA 31 (1996) 4, pp. 605
Persistent link: https://www.econbiz.de/10006705667
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On Estimating the Expected Rate of Return in Diffusion Price Models with Application to Estimating the Expected Return on the Market
Goldenberg, David H.; Schmidt, Raymond J. - In: Journal of Financial and Quantitative Analysis 31 (1996) 04, pp. 605-631
This paper derives and numerically simulates maximum likelihood estimators for the drift in several important diffusion price models. The time series convergence properties of these estimators are compared to those of standard estimators including the geometric and arithmetic means. Merton...
Persistent link: https://www.econbiz.de/10008544240