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Dynamic asset pricing in a unified Bachelier-Black-Scholes-Erton model
Lindquist, W. Brent; Račev, Svetlozar T.; Gnawali, Jagdish - In: Risks : open access journal 12 (2024) 9, pp. 1-24
We present a unified, market-complete model that integrates both Bachelier and Black- Scholes-Merton frameworks for asset pricing. The model allows for the study, within a unified framework, of asset pricing in a natural world that experiences the possibility of negative security prices or...
Persistent link: https://www.econbiz.de/10015065971
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Advanced REIT Portfolio Optimization : Innovative Tools for Risk Management
Lindquist, W. Brent; Račev, Svetlozar T.; Hu, Yuan; … - 2022
Chapter 1. The Real Estate Investment Market: The Current State and Why Advances Are Needed -- Chapter 2. The Data -- Chapter 3. Modern Portfolio Theory -- Chapter 4. Historical Portfolio Optimization – Domestic REITs -- Chapter 5. Diversification with International REITs -- Chapter 6....
Persistent link: https://www.econbiz.de/10013447388
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Investment management
Fabozzi, Frank J. - 1995
Persistent link: https://www.econbiz.de/10000910289
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Asset pricing models
Fabozzi, Frank J. - In: The theory and practice of investment management, (pp. 65-89). 2002
Persistent link: https://www.econbiz.de/10001729877
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Asset pricing models
Fabozzi, Frank J. - 2008
Persistent link: https://www.econbiz.de/10003764398
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Introduction to the pricing of futures/forwards and options
Fabozzi, Frank J. - 2008
Persistent link: https://www.econbiz.de/10003765704
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Institutional investment management : equity and bond portfolio strategies and applications
Fabozzi, Frank J. - 2009
Persistent link: https://www.econbiz.de/10003865444
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Overreaction, rational expectations, and the relationship between security prices and trading volume
Fabozzi, Frank J. - In: Research in finance 10 (1992), pp. 83-97
Persistent link: https://www.econbiz.de/10001160314
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Multi-factor equity risk models
Fabozzi, Frank J.; Jones, Frank Joseph; Vardharaj, Raman - In: The theory and practice of investment management, (pp. 343-372). 2002
Persistent link: https://www.econbiz.de/10001730001
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Early exercise of foreign currency options : determinants of American premium and the critical exchange rate
Fabozzi, Frank J. - In: Advances in futures and options research : a research annual 4 (1990), pp. 219-236
Persistent link: https://www.econbiz.de/10001101731