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Author : D. Chinhyung Cho
Publisher :
ISBN 13 :
Total Pages : 29 pages
Book Rating : 4.:/5 (174 download)
Download or read book International Arbitrage Pricing Theory written by D. Chinhyung Cho and published by . This book was released on 1985 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ross Levine
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.:/5 ( download)
Download or read book An International Arbitrage Pricing Model with PPP Deviations written by Ross Levine and published by . This book was released on 1986 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Wellappuli A. Abeysekera
Publisher :
ISBN 13 :
Total Pages : 117 pages
Book Rating : 4.:/5 (632 download)
Download or read book International arbitrage pricing theory written by Wellappuli A. Abeysekera and published by . This book was released on 1985 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : William R. M. Perraudin
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (933 download)
Download or read book Continuous Time International Arbitrage Pricing written by William R. M. Perraudin and published by . This book was released on 1994 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Hsing Fang
Publisher :
ISBN 13 :
Total Pages : 292 pages
Book Rating : 4.:/5 (174 download)
Download or read book International Arbitrage Pricing Model with Market Imperfections written by Hsing Fang and published by . This book was released on 1986 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Christian Koch
Publisher : GRIN Verlag
ISBN 13 : 3640277856
Total Pages : 81 pages
Book Rating : 4.6/5 (42 download)
Download or read book The Arbitrage Pricing Theory as an Approach to Capital Asset Valuation written by Christian Koch and published by GRIN Verlag. This book was released on 2009-03 with total page 81 pages. Available in PDF, EPUB and Kindle. Book excerpt: Diploma Thesis from the year 1996 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,3, European Business School - International University Schlo Reichartshausen Oestrich-Winkel, 160 entries in the bibliography, language: English, abstract: A "few surprises" could be the trivial answer of the Arbitrage Pricing Theory if asked for the major determinants of stock returns. The APT was developed as a traceable framework of the main principles of capital asset pricing in financial markets. It investigates the causes underlying one of the most important fields in financial economics, namely the relationship between risk and return. The APT provides a thorough understanding of the nature and origins of risk inherent in financial assets and how capital markets reward an investor for bearing risk. Its fundamental intuition is the absence of arbitrage which is, indeed, central to finance and which has been used in virtually all areas of financial study. Since its introduction two decades ago, the APT has been subject to extensive theoretical as well as empirical research. By now, the arbitrage theory is well established in both respects and has enlightened our perception of capital markets. This paper aims to present the APT as an appropriate instrument of capital asset pricing and to link its principles to the valuation of risky income streams. The objective is also to provide an overview of the state of art of APT in the context of alternative capital market theories. For this purpose, Section 2 describes the basic concepts of the traditional asset pricing model, the CAPM, and indicates differences to arbitrage theory. Section 3 constitutes the main part of this paper introducing a derivation of the APT. Emphasis is laid on principles rather than on rigorous proof. The intuition of the pricing formula and its consistency with the state space preference theory are discussed. Important contributions to the APT are classified and br
Author : Piet M. A. Eichholtz
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book International Arbitrage Pricing with Unrestricted Currency Factors written by Piet M. A. Eichholtz and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: A further generalization of the international version of the Arbitrage Pricing Theory is presented in this paper. The traditional model of Solnik (1983) and the modification by Ikeda (1991) are extended in such a way that the factor structure of assets and exchange rates are numeraire independent from the viewpoint of every investor. The assumptions of the resulting model are considerably less strict with respect to exchange rate behavior than was the case in previous models. Our model explicitly takes into account risk premia in exchange rates.
Author : Leonard C. MacLean
Publisher : World Scientific
ISBN 13 : 9814417351
Total Pages : 941 pages
Book Rating : 4.8/5 (144 download)
Download or read book Handbook of the Fundamentals of Financial Decision Making written by Leonard C. MacLean and published by World Scientific. This book was released on 2013 with total page 941 pages. Available in PDF, EPUB and Kindle. Book excerpt: This handbook in two parts covers key topics of the theory of financial decision making. Some of the papers discuss real applications or case studies as well. There are a number of new papers that have never been published before especially in Part II.Part I is concerned with Decision Making Under Uncertainty. This includes subsections on Arbitrage, Utility Theory, Risk Aversion and Static Portfolio Theory, and Stochastic Dominance. Part II is concerned with Dynamic Modeling that is the transition for static decision making to multiperiod decision making. The analysis starts with Risk Measures and then discusses Dynamic Portfolio Theory, Tactical Asset Allocation and Asset-Liability Management Using Utility and Goal Based Consumption-Investment Decision Models.A comprehensive set of problems both computational and review and mind expanding with many unsolved problems are in an accompanying problems book. The handbook plus the book of problems form a very strong set of materials for PhD and Masters courses both as the main or as supplementary text in finance theory, financial decision making and portfolio theory. For researchers, it is a valuable resource being an up to date treatment of topics in the classic books on these topics by Johnathan Ingersoll in 1988, and William Ziemba and Raymond Vickson in 1975 (updated 2 nd edition published in 2006).
Author : Jianping Mei
Publisher : World Scientific
ISBN 13 : 9789810218393
Total Pages : 132 pages
Book Rating : 4.2/5 (183 download)
Download or read book New Methods for the Arbitrage Pricing Theory and the Present Value Model written by Jianping Mei and published by World Scientific. This book was released on 1994 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book consists of two essays on new approaches for the Arbitrage Pricing Theory and the Present Value Model, and one essay on cross-sectional correlations in panel data. The new approaches are designed to study a large number of securities over time. They can be employed by security analysts to discover market anomalies without assuming observable factors or constant risk premium. The book shows how these two approaches can be used to determine how many systematic factors affect the U.S. stock market.
Author : Jin-Chuan Duan
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (427 download)
Download or read book World Market Structure and International Arbitrage Pricing written by Jin-Chuan Duan and published by . This book was released on 1994 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Carl B. McGowan
Publisher :
ISBN 13 :
Total Pages : 16 pages
Book Rating : 4.:/5 (22 download)
Download or read book A Test for a Multi-risk Premia International Asset Pricing Model written by Carl B. McGowan and published by . This book was released on 1987 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Dana R. Clyman
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (282 download)
Download or read book International Arbitrage Pricing, Risk Premia and Exchange Rate Drift written by Dana R. Clyman and published by . This book was released on 1991 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kathryn Dominguez
Publisher : Routledge
ISBN 13 : 1317559126
Total Pages : 122 pages
Book Rating : 4.3/5 (175 download)
Download or read book Exchange Rate Efficiency and the Behavior of International Asset Markets (Routledge Revivals) written by Kathryn Dominguez and published by Routledge. This book was released on 2014-10-20 with total page 122 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book, first published in 1992, examines the subject of foreign exchange market efficiency and, in particular, the effectiveness of central bank intervention in the market. This book is ideal for students of economics.
Author : Diana R. Harrington
Publisher : Prentice Hall
ISBN 13 :
Total Pages : 242 pages
Book Rating : 4.3/5 (97 download)
Download or read book Modern Portfolio Theory, the Capital Asset Pricing Model, and Arbitrage Pricing Theory written by Diana R. Harrington and published by Prentice Hall. This book was released on 1987 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Heinz Zimmermann
Publisher : John Wiley & Sons
ISBN 13 : 047144555X
Total Pages : 340 pages
Book Rating : 4.4/5 (714 download)
Download or read book Global Asset Allocation written by Heinz Zimmermann and published by John Wiley & Sons. This book was released on 2003-02-03 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reveals new methodologies for asset pricing within a global asset allocation framework. Contains cutting-edge empirical research on global markets and sectors of the global economy. Introduces the Black-Litterman model and how it can be used to improve global asset allocation decisions.
Author : Shinsuke Ikeda
Publisher :
ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.3/5 ( download)
Download or read book Arbitage Asset Pricing Under Exchange Risk written by Shinsuke Ikeda and published by . This book was released on 1989 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : George Gaetano Pennacchi
Publisher : Addison-Wesley Longman
ISBN 13 : 9780321127204
Total Pages : 0 pages
Book Rating : 4.1/5 (272 download)
Download or read book Theory of Asset Pricing written by George Gaetano Pennacchi and published by Addison-Wesley Longman. This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Theory of Asset Pricing unifies the central tenets and techniques of asset valuation into a single, comprehensive resource that is ideal for the first PhD course in asset pricing. By striking a balance between fundamental theories and cutting-edge research, Pennacchi offers the reader a well-rounded introduction to modern asset pricing theory that does not require a high level of mathematical complexity.
