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A new characterization of equilibrium in a multi-period finance economy : a computational viewpoint
Won, Dongchul - In: Computational economics 53 (2019) 1, pp. 367-396
Persistent link: https://www.econbiz.de/10012134686
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A supply and demand approach to equity pricing
Calvet, Laurent E.; Betermier, Sebastien; Jo, Evan - 2019
Persistent link: https://www.econbiz.de/10012194321
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Statistical arbitrage : factor investing approach
Akyildirim, Erdinc; Goncu, Ahmet; Hekimoglu, Alper; … - In: OR spectrum : quantitative approaches in management 45 (2023) 4, pp. 1295-1331
Persistent link: https://www.econbiz.de/10014519079
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Kapitalmarktmodelle und erwartete Renditen am deutschen Aktienmarkt
Schneider, Sebastian - 2001
Persistent link: https://www.econbiz.de/10001530439
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Simulating stock prices using geometric Brownian motion : evidence from Australian companies
Reddy, Krishna; Clinton, Vaughan - In: Australasian accounting business and finance journal : AABF 10 (2016) 3, pp. 23-47
Persistent link: https://www.econbiz.de/10011599063
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The effects of stochastic inflation on asset prices
Labadie, Pamela - 1988
Persistent link: https://www.econbiz.de/10000765366
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Exploiting stochastic dominance to generate abnormal stock returns
Clark, Ephraim; Kassimatis, Konstantinos - In: Journal of financial markets 20 (2014), pp. 20-38
Persistent link: https://www.econbiz.de/10010442398
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Stochastic investor sentiment, crowdedness and deviation of asset prices from fundamentals
Zhou, Liyun; Yang, Chunpeng - In: Economic modelling 79 (2019), pp. 130-140
Persistent link: https://www.econbiz.de/10012199089
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Spanning analysis of stock market anomalies under prospect stochastic dominance
Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - 2020 - This version: April 2020
We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investors. We formulate a new testing procedure for prospect spanning for two nested portfolio sets based on subsampling and...
Persistent link: https://www.econbiz.de/10012219063
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Retrieving almost stochastic Dominance momentum in Taiwan stock market
Chiang, Mi-Hsiu; Chiu, Hsin-Yu; Hsu, Yu-Chin - In: Pacific-Basin finance journal 83 (2024), pp. 1-26
Persistent link: https://www.econbiz.de/10014491182