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Author : Larry G. Epstein
Publisher :
ISBN 13 :
Total Pages : 643 pages
Book Rating : 4.:/5 (639 download)
Download or read book Capital Asset Prices and the Temporal Resolution of Uncertainty written by Larry G. Epstein and published by . This book was released on 1980 with total page 643 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : James W. Kolari
Publisher : Springer Nature
ISBN 13 : 3030651975
Total Pages : 326 pages
Book Rating : 4.0/5 (36 download)
Download or read book A New Model of Capital Asset Prices written by James W. Kolari and published by Springer Nature. This book was released on 2021-03-01 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book proposes a new capital asset pricing model dubbed the ZCAPM that outperforms other popular models in empirical tests using US stock returns. The ZCAPM is derived from Fischer Black’s well-known zero-beta CAPM, itself a more general form of the famous capital asset pricing model (CAPM) by 1990 Nobel Laureate William Sharpe and others. It is widely accepted that the CAPM has failed in its theoretical relation between market beta risk and average stock returns, as numerous studies have shown that it does not work in the real world with empirical stock return data. The upshot of the CAPM’s failure is that many new factors have been proposed by researchers. However, the number of factors proposed by authors has steadily increased into the hundreds over the past three decades. This new ZCAPM is a path-breaking asset pricing model that is shown to outperform popular models currently in practice in finance across different test assets and time periods. Since asset pricing is central to the field of finance, it can be broadly employed across many areas, including investment analysis, cost of equity analyses, valuation, corporate decision making, pension portfolio management, etc. The ZCAPM represents a revolution in finance that proves the CAPM as conceived by Sharpe and others is alive and well in a new form, and will certainly be of interest to academics, researchers, students, and professionals of finance, investing, and economics.
Author : Elaine Tren-Yu Chen
Publisher :
ISBN 13 :
Total Pages : 442 pages
Book Rating : 4.:/5 (29 download)
Download or read book Capital Asset Prices Under Uncertain Inflation written by Elaine Tren-Yu Chen and published by . This book was released on 1976 with total page 442 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Elaine T. Chen
Publisher :
ISBN 13 :
Total Pages : 62 pages
Book Rating : 4.:/5 (794 download)
Download or read book Uncertain Inflation and Capital Asset Prices written by Elaine T. Chen and published by . This book was released on 1976 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Robert A. Jarrow
Publisher :
ISBN 13 :
Total Pages : 472 pages
Book Rating : 4.3/5 (91 download)
Download or read book Volatility written by Robert A. Jarrow and published by . This book was released on 1998 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by a number of authors, this text is aimed at market practitioners and applies the latest stochastic volatility research findings to the analysis of stock prices. It includes commentary and analysis based on real-life situations.
Author : Uwe Götze
Publisher : Springer
ISBN 13 : 3662458519
Total Pages : 371 pages
Book Rating : 4.6/5 (624 download)
Download or read book Investment Appraisal written by Uwe Götze and published by Springer. This book was released on 2015-03-18 with total page 371 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an introduction to investment appraisal and presents a range of methods and models, some of which are not widely known, or at least not well covered by other textbooks. Each approach is thoroughly described, evaluated and illustrated using examples, with its assumptions and limitations analyzed in terms of their implications for investment decision-making practice. Investment decisions are of vital importance to all companies. Getting these decisions right is crucial but, due to a complex and dynamic business environment, this remains a challenging management task. Effective appraisal methods are valuable tools in supporting investment decision-making. As organisations continue to seek a competitive edge, it is increasingly important that management accountants and strategic decision-makers have a sound knowledge of these tools.
Author : G. Fandel
Publisher : Springer Science & Business Media
ISBN 13 : 3642487823
Total Pages : 590 pages
Book Rating : 4.6/5 (424 download)
Download or read book Multiple Criteria Decision Making Theory and Application written by G. Fandel and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 590 pages. Available in PDF, EPUB and Kindle. Book excerpt: He consider a cone dominance problem: given a "preference" cone lP and a set n X ~ R of available, or feasible, alternatives, the problem is to identify the non dominated elements of X. The nonzero elements of lP are assumed to model the do- nance structure of the problem so that y s X dominates x s X if Y = x + P for some nonzero p S lP. Consequently, x S X is nondominated if, and only if, ({x} + lP) n X = {x} (1.1) He will also refer to nondominated points as efficient points (in X with respect to lP) and we will let EF(XJP) denote the set of such efficient points. This cone dominance problem draws its roots from two separate, but related, ori gins. The first of these is multi-attribute decision making in which the elements of the set X are endowed with various attributes, each to be maximized or minimized.
Author : Thomas A. Lawler
Publisher :
ISBN 13 :
Total Pages : 13 pages
Book Rating : 4.:/5 (441 download)
Download or read book Uncertain Inflation, Systematic Risk, and the Capital Asset Pricing Model written by Thomas A. Lawler and published by . This book was released on 1978 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kamalakar Vinayak Pradhan
Publisher :
ISBN 13 :
Total Pages : 296 pages
Book Rating : 4.:/5 (224 download)
Download or read book Capital Asset Pricing Models Under Uncertain Inflation written by Kamalakar Vinayak Pradhan and published by . This book was released on 1978 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : G. Gregoriou
Publisher : Springer
ISBN 13 : 0230298109
Total Pages : 277 pages
Book Rating : 4.2/5 (32 download)
Download or read book Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures written by G. Gregoriou and published by Springer. This book was released on 2010-12-13 with total page 277 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book proposes new methods to build optimal portfolios and to analyze market liquidity and volatility under market microstructure effects, as well as new financial risk measures using parametric and non-parametric techniques. In particular, it investigates the market microstructure of foreign exchange and futures markets.
Author : Wayne Ferson
Publisher : MIT Press
ISBN 13 : 0262351307
Total Pages : 497 pages
Book Rating : 4.2/5 (623 download)
Download or read book Empirical Asset Pricing written by Wayne Ferson and published by MIT Press. This book was released on 2019-03-26 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
Author : Itzhak Gilboa
Publisher : Psychology Press
ISBN 13 : 9780415324946
Total Pages : 584 pages
Book Rating : 4.3/5 (249 download)
Download or read book Uncertainty in Economic Theory written by Itzhak Gilboa and published by Psychology Press. This book was released on 2004 with total page 584 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This is the first collection to include chapters on this topic, and it can thus serve as an introduction to researchers who are new to the field as well as a graduate course textbook. With this goal in mind, the book contains survey introductions that are aimed at a graduate level student, and help explain the main ideas, and put them in perspective."--BOOK JACKET.
Author : G. Constantinides
Publisher : Elsevier
ISBN 13 : 0080495087
Total Pages : 698 pages
Book Rating : 4.0/5 (84 download)
Download or read book Handbook of the Economics of Finance written by G. Constantinides and published by Elsevier. This book was released on 2003-11-04 with total page 698 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volume 1B covers the economics of financial markets: the saving and investment decisions; the valuation of equities, derivatives, and fixed income securities; and market microstructure.
Author : Harold Bierman
Publisher : MacMillan Publishing Company
ISBN 13 :
Total Pages : 584 pages
Book Rating : 4.:/5 (318 download)
Download or read book The Capital Budgeting Decision written by Harold Bierman and published by MacMillan Publishing Company. This book was released on 1988 with total page 584 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John R. Birge
Publisher : Elsevier
ISBN 13 : 9780080553252
Total Pages : 1026 pages
Book Rating : 4.5/5 (532 download)
Download or read book Handbooks in Operations Research and Management Science: Financial Engineering written by John R. Birge and published by Elsevier. This book was released on 2007-11-16 with total page 1026 pages. Available in PDF, EPUB and Kindle. Book excerpt: The remarkable growth of financial markets over the past decades has been accompanied by an equally remarkable explosion in financial engineering, the interdisciplinary field focusing on applications of mathematical and statistical modeling and computational technology to problems in the financial services industry. The goals of financial engineering research are to develop empirically realistic stochastic models describing dynamics of financial risk variables, such as asset prices, foreign exchange rates, and interest rates, and to develop analytical, computational and statistical methods and tools to implement the models and employ them to design and evaluate financial products and processes to manage risk and to meet financial goals. This handbook describes the latest developments in this rapidly evolving field in the areas of modeling and pricing financial derivatives, building models of interest rates and credit risk, pricing and hedging in incomplete markets, risk management, and portfolio optimization. Leading researchers in each of these areas provide their perspective on the state of the art in terms of analysis, computation, and practical relevance. The authors describe essential results to date, fundamental methods and tools, as well as new views of the existing literature, opportunities, and challenges for future research.
Author : James Joseph Heckman
Publisher : Elsevier
ISBN 13 : 0444506314
Total Pages : 1013 pages
Book Rating : 4.4/5 (445 download)
Download or read book Handbook of Econometrics written by James Joseph Heckman and published by Elsevier. This book was released on 2007 with total page 1013 pages. Available in PDF, EPUB and Kindle. Book excerpt: As conceived by the founders of the Econometric Society, econometrics is a field that uses economic theory and statistical methods to address empirical problems in economics. It is a tool for empirical discovery and policy analysis. The chapters in this volume embody this vision and either implement it directly or provide the tools for doing so. This vision is not shared by those who view econometrics as a branch of statistics rather than as a distinct field of knowledge that designs methods of inference from data based on models of human choice ...
Author : Chris Jones
Publisher : Routledge
ISBN 13 : 1134185685
Total Pages : 333 pages
Book Rating : 4.1/5 (341 download)
Download or read book Financial Economics written by Chris Jones and published by Routledge. This book was released on 2008-01-24 with total page 333 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book provides an excellent introduction to the basic classical finance model where financial assests are a veil over the real economy.
