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Cross-section without factors : correlation risk, strings and asset prices

Distaso, Walter; Mele, Antonio; Vilkov, Grigory - 2021 - This version: January 13, 2021

Many asset pricing theories treat the cross-section of returns volatility and correlations as two intimately related quantities driven by common factors, which hinders achieving a neat definition of a correlation premium. We formulate a model without factors, but with a continuum of securities...

Persistent link: https://www.econbiz.de/10012421289

Ambiguity Aversion and the Arbitrage Pricing Theory

Polkovnichenko, Valery - 2010

We consider a linear factor APT model and assume that agents are ambiguity averse with respect to payoffs of arbitrage portfolios. In contrast to the standard result, pricing errors need not converge to zero in the limit as the number of assets goes to infinity. Even in the case of exact factor...

Persistent link: https://www.econbiz.de/10013142098

Arbitrage Pricing Theory, the Stochastic Discount Factor and Estimation of Risk Premia from Portfolios

Pesaran, M. Hashem; Smith, Ron - 2021

The arbitrage pricing theory (APT) attributes differences in expected returns to exposure to systematic risk factors …

Persistent link: https://www.econbiz.de/10013233142

Systematic Risk of Cdos and Cdo Arbitrage

Hamerle, Alfred - 2016

Persistent link: https://www.econbiz.de/10012989251

Chapter 10 Arbitrage, state prices and portfolio theory

Dybvig, Philip H.; Ross, Stephen A. - 2003

preferences, and solving them for probabilities gives us beliefs. We look at two popular asset pricing models, the CAPM and the … APT, as well as complete-markets pricing. In the case of the CAPM, the first-order conditions link nicely to the … traditional measures of portfolio performance. Further conceptual results include aggregation and mutual fund separation theory …

Persistent link: https://www.econbiz.de/10014023861

Black scholes for portfolios of options in discrete time : the price is right, the hedge is wrong

Peeters, Bas; Dert, Cees; Lucas, André - 2003

Taking a portfolio perspective on option pricing and hedging, we show that within the standard Black-Scholes-Merton framework large portfolios of options can be hedged without risk in discrete time. The nature of the hedge portfolio in the limit of large portfolio size is substantially different...

Persistent link: https://www.econbiz.de/10011334345

Arbitrage pricing theory, the stochastic discount factor and estimation of risk premia from portfolios

Pesaran, M. Hashem; Smith, Ron - 2021

The arbitrage pricing theory (APT) attributes differences in expected returns to exposure to systematic risk factors …

Persistent link: https://www.econbiz.de/10012499632

Common Risk Factors in the Returns on Cryptocurrencies

Liu, Weiyi - 2019

This paper identifies three common risk factors in the returns on cryptocurrencies, which are related to cryptocurrency market return, market cap (size) and momentum of cryptocurrencies. Using the empirical data of cryptocurrencies, we find strong evidence that there are anomalous returns that...

Persistent link: https://www.econbiz.de/10012871481

Arbitrage pricing theory

Huberman, Gur - 2005

Focusing on capital asset returns governed by a factor structure, the Arbitrage Pricing Theory (APT) is a one …

Persistent link: https://www.econbiz.de/10003085740

Arbitrage, Markov Processes, and Asset Price Paths

Goldenberg, David H. - 2016

Recent results have characterized the class of continuous sample path stochastic processes admissible as equilibrium price processes in a frictionless, continuous trading market under a no arbitrage equilibrium. These results are not complete since the role of the Markov assumption, made by all...

Persistent link: https://www.econbiz.de/10012999190