A Multiperiod Asset Pricing Model With Unobservable Market Portfolio PDF Download
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Author | : Hossein B. Kazemi |
Publisher | : |
Total Pages | : |
Release | : 1986 |
Genre | : |
ISBN | : |
Download A Multiperiod Asset Pricing Model with Unobservable Market Portfolio Book in PDF, ePub and Kindle
Author | : |
Publisher | : |
Total Pages | : 20 |
Release | : 1986 |
Genre | : |
ISBN | : |
Download a multiperiod asset pricing model with unobservable market portfolio Book in PDF, ePub and Kindle
Author | : Emmanuel Jurczenko |
Publisher | : John Wiley & Sons |
Total Pages | : 258 |
Release | : 2006-10-02 |
Genre | : Business & Economics |
ISBN | : 0470057998 |
Download Multi-moment Asset Allocation and Pricing Models Book in PDF, ePub and Kindle
While mainstream financial theories and applications assume that asset returns are normally distributed and individual preferences are quadratic, the overwhelming empirical evidence shows otherwise. Indeed, most of the asset returns exhibit “fat-tails” distributions and investors exhibit asymmetric preferences. These empirical findings lead to the development of a new area of research dedicated to the introduction of higher order moments in portfolio theory and asset pricing models. Multi-moment asset pricing is a revolutionary new way of modeling time series in finance which allows various degrees of long-term memory to be generated. It allows risk and prices of risk to vary through time enabling the accurate valuation of long-lived assets. This book presents the state-of-the art in multi-moment asset allocation and pricing models and provides many new developments in a single volume, collecting in a unified framework theoretical results and applications previously scattered throughout the financial literature. The topics covered in this comprehensive volume include: four-moment individual risk preferences, mathematics of the multi-moment efficient frontier, coherent asymmetric risks measures, hedge funds asset allocation under higher moments, time-varying specifications of (co)moments and multi-moment asset pricing models with homogeneous and heterogeneous agents. Written by leading academics, Multi-moment Asset Allocation and Pricing Models offers a unique opportunity to explore the latest findings in this new field of research.
Author | : Michael R. Gibbons |
Publisher | : |
Total Pages | : 76 |
Release | : 1983 |
Genre | : Securities |
ISBN | : |
Download Testing Asset Pricing Models with Changing Expectations and an Unobservable Market Portfolio Book in PDF, ePub and Kindle
Author | : M. Agarwal |
Publisher | : Springer |
Total Pages | : 259 |
Release | : 2015-12-11 |
Genre | : Business & Economics |
ISBN | : 1137359927 |
Download Developments in Mean-Variance Efficient Portfolio Selection Book in PDF, ePub and Kindle
This book discusses new determinants for optimal portfolio selection. It reviews the existing modelling framework and creates mean-variance efficient portfolios from the securities companies on the National Stock Exchange. Comparisons enable researchers to rank them in terms of their effectiveness in the present day Indian securities market.
Author | : Diana R. Harrington |
Publisher | : Prentice Hall |
Total Pages | : 242 |
Release | : 1987 |
Genre | : Business & Economics |
ISBN | : |
Download Modern Portfolio Theory, the Capital Asset Pricing Model, and Arbitrage Pricing Theory Book in PDF, ePub and Kindle
Author | : Christian Szylar |
Publisher | : John Wiley & Sons |
Total Pages | : 432 |
Release | : 2013-10-16 |
Genre | : Business & Economics |
ISBN | : 111857298X |
Download Handbook of Market Risk Book in PDF, ePub and Kindle
A ONE-STOP GUIDE FOR THE THEORIES, APPLICATIONS, AND STATISTICAL METHODOLOGIES OF MARKET RISK Understanding and investigating the impacts of market risk on the financial landscape is crucial in preventing crises. Written by a hedge fund specialist, the Handbook of Market Risk is the comprehensive guide to the subject of market risk. Featuring a format that is accessible and convenient, the handbook employs numerous examples to underscore the application of the material in a real-world setting. The book starts by introducing the various methods to measure market risk while continuing to emphasize stress testing, liquidity, and interest rate implications. Covering topics intrinsic to understanding and applying market risk, the handbook features: An introduction to financial markets The historical perspective from market events and diverse mathematics to the value-at-risk Return and volatility estimates Diversification, portfolio risk, and efficient frontier The Capital Asset Pricing Model and the Arbitrage Pricing Theory The use of a fundamental multi-factors model Financial derivatives instruments Fixed income and interest rate risk Liquidity risk Alternative investments Stress testing and back testing Banks and Basel II/III The Handbook of Market Risk is a must-have resource for financial engineers, quantitative analysts, regulators, risk managers in investments banks, and large-scale consultancy groups advising banks on internal systems. The handbook is also an excellent text for academics teaching postgraduate courses on financial methodology.
Author | : Satyajit Chakrabarti |
Publisher | : Taylor & Francis |
Total Pages | : 308 |
Release | : 2024-09-18 |
Genre | : Business & Economics |
ISBN | : 1040017568 |
Download Perspectives in Finance and Digital Transformations in Business Book in PDF, ePub and Kindle
This book presents different perspectives in finance and the adoption of digital tools in business in India. It discusses key issues in strategy, organisation, and management for businesses focussing on practical and actionable guidance and innovative tools which offer insights into the formulation and implementation of effective strategies and solutions. The book also looks at the adoption of new digital tools and strategies in different areas of business and management and ways in which these tools can be employed in business analysis, strategy, risk assessment, and management. It presents an overview of the application of new technologies in the industrial, banking, corporate, and agriculture sectors, among others, all aimed at increasing performance and profitability, assessing financial risk and volatility, and improving customer and employee experience. Part of the Contemporary Management Practices series, this book will be useful to practicing managers, researchers, and students who are interested in business and financial strategy, social inclusion, e-business, social entrepreneurship, information management, finance, and banking.
Author | : Bruce K. Gouldey |
Publisher | : |
Total Pages | : |
Release | : 1900 |
Genre | : |
ISBN | : |
Download An Empirical Test of a Multiperiod Capital Asset Pricing Model Book in PDF, ePub and Kindle
Author | : Gary Chamberlain |
Publisher | : |
Total Pages | : 78 |
Release | : 1985 |
Genre | : |
ISBN | : |
Download Asset Pricing in Multiperiod Securities Markets Book in PDF, ePub and Kindle