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Optimal dynamic trading strategies

Breeden, Douglas T. - In: Economic notes : economic review of Banca Monte dei … 33 (2004) 1, pp. 55-81

Persistent link: https://www.econbiz.de/10003690175

Foundations for financial economics

Huang, Chi-fu; Litzenberger, Robert H. - 1988 - 1. print.

Persistent link: https://www.econbiz.de/10000743122

The interrelations of finance and economics : empirical perspectives

Gibbons, Michael R. - In: The American economic review 77 (1987) 2, pp. 35-41

Persistent link: https://www.econbiz.de/10001026546

A test of the efficiency of a given portfolio

Gibbons, Michael R. - In: Econometrica : journal of the Econometric Society, an … 57 (1989) 5, pp. 1121-1152

Persistent link: https://www.econbiz.de/10001076157

Subperiod aggregation and the power of multivariate tests of portfolio efficiency

Gibbons, Michael R. - In: Journal of financial economics 2 (1987), pp. 389-394

Persistent link: https://www.econbiz.de/10001036353

An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities

Breeden, Douglas T. - 2015

This paper derives a single-beta asset pricing model in a multi-good, continuous-time model with uncertain consumption-goods prices and uncertain investment opportunities. When no riskless asset exists, a zero-beta pricing model is derived. Asset betas are measured relative to changes in the...

Persistent link: https://www.econbiz.de/10013017828

The Use and Misuse of Models in Investment Management

Breeden, Douglas T. - 2015

This article examines key uses and misuses of models in investment management, focusing on lessons from fixed income. Mortgage risks and risk estimation, as well as bank loan and corporate bond risk estimation are examined

Persistent link: https://www.econbiz.de/10013017852