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Author : Robert A. Jarrow
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (922 download)
Download or read book Jump Risks and the Intertemporal Capital Asset Pricing Model written by Robert A. Jarrow and published by . This book was released on 1983 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Eric Bentzen
Publisher :
ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.:/5 (185 download)
Download or read book The Intertemporal Capital Asset Pricing Model with Returns that Follow Poisson Jump-diffusion Processes written by Eric Bentzen and published by . This book was released on 2000 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Working Paper written by and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Eric Bentaen
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (91 download)
Download or read book The Intertemporal Capital Asset Pricing Model with Returns that Follow Poisson Jump-diffusion Process written by Eric Bentaen and published by . This book was released on 1992 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Arno Popanda
Publisher :
ISBN 13 : 9783346035219
Total Pages : 32 pages
Book Rating : 4.0/5 (352 download)
Download or read book Multifactor Models Regarding Intertemporal Capital Asset Pricing Model (ICAPM) Assumptions on European and US Market Data. Advancing the Capital Asset Pricing Model (CAPM) written by Arno Popanda and published by . This book was released on 2019-09-10 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2018 in the subject Economics - Finance, grade: 1.7, University of Duisburg-Essen (Faculty of Business and Economics), language: English, abstract: The Capital Asset Pricing Model (CAPM), which is developed by Harry Markowitz, lacks on empirical validation and is not economically fully plausible. By only considering a single period within the CAPM, Merton tried to improve the model by implementing different intertemporal assumptions. This paper focuses on the analysis, if the lack of the CAPM can be improved by using the assumptions of the ICAPM and if the eight investigated models are in the sense of Merton's assumptions. The first chapter reviews a short explanation of the classical CAPM and his critics, followed by Merton's intertemporal CAPM and his assumptions in the next chapter. Additionally, there were models developed, trying to be economically plausible by considering the ICAPM main assumptions, which are presented in the second chapter. A different way to develop an empirical better fitting CAPM is by using empirical motivated state variables. Fama & French started to take this approach by developing the three-factor-model (FF3). A lot of researchers were influenced by the FF3 and made their own version of a multifactor model by implementing variables. Even Fama & French enhanced their three-factor-model by adding further variables. In the third section there is the forecasting power of the four ICAPM models and the four empirical motivated multifactor models on the US market data and on the European market data compared. Then follows an examination if these models can be determined in the sense of the ICAPM restrictions. The last chapter concludes the results.
Author : Michael J. Brennan
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (566 download)
Download or read book Risk and Valuation Under an Intertemporal Capital Asset Pricing Model written by Michael J. Brennan and published by . This book was released on 2003 with total page 42 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 : Andrew Wen-Chuan Lo
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (671 download)
Download or read book Trading volume : implications of an intertemporal capital asset pricing model written by Andrew Wen-Chuan Lo and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Scott Cederburg
Publisher :
ISBN 13 :
Total Pages : 79 pages
Book Rating : 4.:/5 (13 download)
Download or read book Pricing Intertemporal Risk when Investment Opportunities Are Unobservable written by Scott Cederburg and published by . This book was released on 2018 with total page 79 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Intertemporal Capital Asset Pricing Model (ICAPM) predicts that an unobservable factor capturing changes in expected market returns should be priced in the cross section. My Bayesian framework accounts for uncertainty in the intertemporal risk factor and gauges the effects of prior information about investment opportunities on model inferences. Whereas an uninformative-prior specification produces weak evidence that intertemporal risk is priced, incorporating prior information about market return predictability generates a large space of ex ante reasonable priors in which the estimated intertemporal risk factor is positively priced. Overall, the cross-sectional tests reject the CAPM and indicate support for the ICAPM.
Author : Floyd B. Hanson
Publisher : SIAM
ISBN 13 : 0898716330
Total Pages : 461 pages
Book Rating : 4.8/5 (987 download)
Download or read book Applied Stochastic Processes and Control for Jump Diffusions written by Floyd B. Hanson and published by SIAM. This book was released on 2007-11-22 with total page 461 pages. Available in PDF, EPUB and Kindle. Book excerpt: A practical, entry-level text integrating the basic principles of applied mathematics and probability, and computational science.
Author : Alberto Giovannini
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (129 download)
Download or read book Risk aversion and intertemporal substitution in the capital asset pricing model written by Alberto Giovannini and published by . This book was released on 1989 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Risk Aversion and Intertemporal Substitution in the Capital Asset Pricing Model written by and published by . This book was released on 1989 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Andrew W. Lo
Publisher :
ISBN 13 :
Total Pages : 65 pages
Book Rating : 4.:/5 (129 download)
Download or read book Trading Volume written by Andrew W. Lo and published by . This book was released on 2009 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt: We derive an intertemporal capital asset pricing model with multiple assets and heterogeneous investors, and explore its implications for the behavior of trading volume and asset returns. Assets contain two types of risks: market risk and the risk of changing market conditions. We show that investors trade only in two portfolios: the market portfolio, and a hedging portfolio, which allows them to hedge the dynamic risk. This implies that trading volume of individual assets exhibit a two-factor structure, and their factor loadings depend on their weights in the hedging portfolio. This allows us to empirically identify the hedging portfolio using volume data. We then test the two properties of the hedging portfolio: its return provides the best predictor of future market returns and its return together with the return of the market portfolio are the two risk factors determining the cross-section of asset returns.
Author : Bernd Meyer
Publisher : Physica
ISBN 13 : 9783642586736
Total Pages : 287 pages
Book Rating : 4.5/5 (867 download)
Download or read book Intertemporal Asset Pricing written by Bernd Meyer and published by Physica. This book was released on 2011-12-21 with total page 287 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the mid-eighties Mehra and Prescott showed that the risk premium earned by American stocks cannot reasonably be explained by conventional capital market models. Using time additive utility, the observed risk pre mium can only be explained by unrealistically high risk aversion parameters. This phenomenon is well known as the equity premium puzzle. Shortly aft erwards it was also observed that the risk-free rate is too low relative to the observed risk premium. This essay is the first one to analyze these puzzles in the German capital market. It starts with a thorough discussion of the available theoretical mod els and then goes on to perform various empirical studies on the German capital market. After discussing natural properties of the pricing kernel by which future cash flows are translated into securities prices, various multi period equilibrium models are investigated for their implied pricing kernels. The starting point is a representative investor who optimizes his invest ment and consumption policy over time. One important implication of time additive utility is the identity of relative risk aversion and the inverse in tertemporal elasticity of substitution. Since this identity is at odds with reality, the essay goes on to discuss recursive preferences which violate the expected utility principle but allow to separate relative risk aversion and intertemporal elasticity of substitution.
Author : Erricos Kontoghiorghes
Publisher : Springer Science & Business Media
ISBN 13 : 3540366261
Total Pages : 275 pages
Book Rating : 4.5/5 (43 download)
Download or read book Optimisation, Econometric and Financial Analysis written by Erricos Kontoghiorghes and published by Springer Science & Business Media. This book was released on 2007-05-17 with total page 275 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book addresses issues associated with the interface of computing, optimisation, econometrics and financial modeling, emphasizing computational optimisation methods and techniques. The first part addresses optimisation problems and decision modeling, plus applications of supply chain and worst-case modeling and advances in methodological aspects of optimisation techniques. The second part covers optimisation heuristics, filtering, signal extraction and time series models. The final part discusses optimisation in portfolio selection and real option modeling.
Author : Stephen Satchell
Publisher : Elsevier
ISBN 13 : 0080494978
Total Pages : 417 pages
Book Rating : 4.0/5 (84 download)
Download or read book Forecasting Volatility in the Financial Markets written by Stephen Satchell and published by Elsevier. This book was released on 2002-08-22 with total page 417 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'Forecasting Volatility in the Financial Markets' assumes that the reader has a firm grounding in the key principles and methods of understanding volatility measurement and builds on that knowledge to detail cutting edge modelling and forecasting techniques. It then uses a technical survey to explain the different ways to measure risk and define the different models of volatility and return.The editors have brought together a set of contributors that give the reader a firm grounding in relevant theory and research and an insight into the cutting edge techniques applied in this field of the financial markets.This book is of particular relevance to anyone who wants to understand dynamic areas of the financial markets.* Traders will profit by learning to arbitrage opportunities and modify their strategies to account for volatility.* Investment managers will be able to enhance their asset allocation strategies with an improved understanding of likely risks and returns.* Risk managers will understand how to improve their measurement systems and forecasts, enhancing their risk management models and controls.* Derivative specialists will gain an in-depth understanding of volatility that they can use to improve their pricing models.* Students and academics will find the collection of papers an invaluable overview of this field. This book is of particular relevance to those wanting to understand the dynamic areas of volatility modeling and forecasting of the financial marketsProvides the latest research and techniques for Traders, Investment Managers, Risk Managers and Derivative Specialists wishing to manage their downside risk exposure Current research on the key forecasting methods to use in risk management, including two new chapters
Author : Laurent E. Calvet
Publisher : Academic Press
ISBN 13 : 0080559964
Total Pages : 273 pages
Book Rating : 4.0/5 (85 download)
Download or read book Multifractal Volatility written by Laurent E. Calvet and published by Academic Press. This book was released on 2008-10-13 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: Calvet and Fisher present a powerful, new technique for volatility forecasting that draws on insights from the use of multifractals in the natural sciences and mathematics and provides a unified treatment of the use of multifractal techniques in finance. A large existing literature (e.g., Engle, 1982; Rossi, 1995) models volatility as an average of past shocks, possibly with a noise component. This approach often has difficulty capturing sharp discontinuities and large changes in financial volatility. Their research has shown the advantages of modelling volatility as subject to abrupt regime changes of heterogeneous durations. Using the intuition that some economic phenomena are long-lasting while others are more transient, they permit regimes to have varying degrees of persistence. By drawing on insights from the use of multifractals in the natural sciences and mathematics, they show how to construct high-dimensional regime-switching models that are easy to estimate, and substantially outperform some of the best traditional forecasting models such as GARCH. The goal of Multifractal Volatility is to popularize the approach by presenting these exciting new developments to a wider audience. They emphasize both theoretical and empirical applications, beginning with a style that is easily accessible and intuitive in early chapters, and extending to the most rigorous continuous-time and equilibrium pricing formulations in final chapters. Presents a powerful new technique for forecasting volatility Leads the reader intuitively from existing volatility techniques to the frontier of research in this field by top scholars at major universities The first comprehensive book on multifractal techniques in finance, a cutting-edge field of research
