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Autoregressive multifactor APT model for U.S. Equity Markets
Malhotra, Karan - Volkswirtschaftliche Fakultät, … - 2010
Arbitrage Pricing Theory is a one period asset pricing model used to predict equity returns based on a multivariate …
Persistent link: https://www.econbiz.de/10008564504
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Structured Finance, Risk Management, and the Recent Financial Crisis
Dionne, Georges - Centre Interuniversitaire sur le Risque, les Politiques … - 2009
management such as agency problems in the securitization market, poor rating and pricing standards, rating agency incentives …
Persistent link: https://www.econbiz.de/10008577822
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Dividends, Earnings and Fundamental Valuation.
Kamstra, M. - Department of Economics, Simon Fraser University - 1999
approaches. Extension of this method to pricing initial public offerings (IPOs) is also provided. Careful analysis of price …
Persistent link: https://www.econbiz.de/10005767747
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The Ex Post Rational Price is Certainly Ex Post, It Might Be Rational, But Is It Useful?
Kamstra, M. - Department of Economics, Simon Fraser University - 1998
regulation of new and existing capital markets. …
Persistent link: https://www.econbiz.de/10005767751
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The Pricing of Human Capital and Financial Assets
Palacios-Huerta, I. - Hoover Institution on War Revolution & Peace, Stanford … - 1997
, and uses them (i) to evaluate the pricing of human capital assets and compare their pricing implications across … individuals with different demographic characteristics, and (ii) to compare the asset pricing implications of human capital …
Persistent link: https://www.econbiz.de/10005776145
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Reaching Goals by a Deadline: Digital Options and Continuous-Time Active Portfolio Management.
Browne, S. - Graduate School of Business, Columbia University - 1996
We study a variety of optimal investment problems for objectives related to aataining goals by a fixed terminal time.
Persistent link: https://www.econbiz.de/10005776744
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Two Curves, One Price :Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves
Bianchetti, Marco - Volkswirtschaftliche Fakultät, … - 2008
We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple …
Persistent link: https://www.econbiz.de/10008457180
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Value Creation and Profit Optimization
Winther, K. Tobias - EconWPA - 2002
The present paper develops a basic framework for evaluating and optimizing profits in a business operation. In developing a business we are often faced with an infinity of choices ranging from what products or services to sell and what customers to target to how to structure and manage the...
Persistent link: https://www.econbiz.de/10005561773
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Letent Variable Models for Stochastic Discount Factors.
Garcia, R.; Renault, E. - Centre Interuniversitaire de Recherche en Économie … - 2000
In this paper, we provided a unifying analysis of latent variable models in finance through the concept of stochastic discount factor (SDF).
Persistent link: https://www.econbiz.de/10005353040
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Valuation and Asset Pricing in Infinite Horizon Sequential Markets with Portfolio Constraints.
Huang, K.X. - Department of Economics, University of Minnesota - 1999
This paper is concerned with the issue of payoff valuation and asset pricing in sequential markets with portfolio …
Persistent link: https://www.econbiz.de/10005609535