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CAPM
Theorie
215
Theory
195
continuous time
114
Stochastischer Prozess
102
Stochastic process
93
Continuous time
86
Game theory
66
Markov chain
66
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65
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63
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54
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50
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41
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38
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37
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36
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34
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33
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Continuous Time
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continuous-time
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Andersen, Torben G.
4
Bollerslev, Tim
4
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4
Horst, Ulrich
4
Kupper, Michael
4
Macrina, Andrea
4
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4
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4
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2
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2
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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Center for Financial Studies
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
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1
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1
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1
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1
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1
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1
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ECONIS (ZBW)
21
RePEc
6
EconStor
2
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11
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20
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11
A rank test for the number of factors with high-frequency data
Kong, Xin-Bing
;
Liu, Zhi
;
Zhou, Wang
- In:
Journal of econometrics
211
(
2019
)
2
,
pp. 439-460
Persistent link: https://www.econbiz.de/10012303820
Saved in:
12
Continuous-time
smooth ambiguity preferences
Suzuki, Masataka
- In:
Journal of economic dynamics & control
90
(
2018
),
pp. 30-44
Persistent link: https://www.econbiz.de/10011974017
Saved in:
13
Continuous Equilibrium under Base Preferences and Attainable Initial Endowments
Horst, Ulrich
;
Kupper, Michael
;
Macrina, Andrea
; …
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2011
We consider a full equilibrium model in
continuous
time
comprising a finite number of agents and tradable securities …
Persistent link: https://www.econbiz.de/10011277273
Saved in:
14
Continuous equilibrium under base preferences and attainable initial endowments
Horst, Ulrich
;
Kupper, Michael
;
Macrina, Andrea
; …
-
2011
We consider a full equilibrium model in
continuous
time
comprising a finite number of agents and tradable securities …
Persistent link: https://www.econbiz.de/10010281543
Saved in:
15
Taylor approximation of incomplete Radner equilibrium models
Choi, Jin Hyuk
;
Larsen, Kasper
- In:
Finance and stochastics
19
(
2015
)
3
,
pp. 653-679
Persistent link: https://www.econbiz.de/10011418332
Saved in:
16
Strategic asset valuation and higher stochastic moments : an adjusted black-scholes model
Milanesi, Gastón
;
Pesce, Gabriela
;
El Alabi, Emilio
- In:
Journal of contemporary management : JMC
4
(
2015
)
3
,
pp. 95-106
Persistent link: https://www.econbiz.de/10011392906
Saved in:
17
Does ambiguity matter? : estimating asset pricing models with a multiple-priors recursive utility
Jeong, Daehee
;
Kim, Hwagyun
;
Park, Joon Y.
- In:
Journal of financial economics
115
(
2015
)
2
,
pp. 361-382
Persistent link: https://www.econbiz.de/10011347485
Saved in:
18
Option pricing using a regime switching stochastic discount factor
Elliott, Robert J.
;
Hamada, Ahmed S.
- In:
International journal of theoretical and applied finance
17
(
2014
)
3
,
pp. 1-26
Persistent link: https://www.econbiz.de/10010364754
Saved in:
19
Continuous-time
mean-variance portfolio selection with only risky assets
Yao, Haixiang
;
Li, Zhongfei
;
Chen, Shumin
- In:
Economic modelling
36
(
2014
),
pp. 244-251
Persistent link: https://www.econbiz.de/10010412352
Saved in:
20
Continuous equilibrium in affine and information-based capital asset pricing models
Horst, Ulrich
;
Kupper, Michael
;
Macrina, Andrea
; …
- In:
Annals of Finance
9
(
2013
)
4
,
pp. 725-755
We consider a class of generalized capital asset pricing models in
continuous
time
with a finite number of agents and …
Persistent link: https://www.econbiz.de/10010866522
Saved in:
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