Výsledky vyhľadávania - "ARBITRAGE pricing theory"

Robust portfolio optimization meets Arbitrage Pricing Theory.

Autori: Waga, Mateus Valladão, Davi Street, Alexandre

Zdroj: European Journal of Operational Research. Nov2025, Vol. 326 Issue 3, p558-568. 11p.

Predmety: *ARBITRAGE pricing theory, *PORTFOLIO management (Investments), *TRANSACTION costs, *RETURN on assets, *ARBITRAGE, ROBUST optimization

A market resilient data-driven approach to option pricing.

Autori: Goswami, Anindya Rana, Nimit

Zdroj: Quantitative Finance. Oct2025, Vol. 25 Issue 10, p1581-1597. 17p.

Predmety: *OPTIONS (Finance), *ARBITRAGE pricing theory, *ECONOMIC statistics, *INVESTMENT analysis, *EMPIRICAL research, PREDICTIVE validity

The Elasticity of Quantitative Investment.

Autori: Davis, Carter

Zdroj: Review of Financial Studies; Oct2025, Vol. 38 Issue 10, p2845-2886, 42p

Predmety: ELASTICITY (Economics), INVESTMENTS, PRICING, ASSETS (Accounting), ARBITRAGE pricing theory

Optimal Markowitz Portfolio using APT in Determining the Expected Return during the Covid19 Pandemic.

Autori: YUNITA, Irni GANESAN, Yuvaraj

Zdroj: Quality - Access to Success. Sep2025, Vol. 26 Issue 208, p287-294. 8p.

Predmety: *ARBITRAGE pricing theory, *EXPECTED returns, *PORTFOLIO diversification, *MARKET volatility, *ASSET allocation, *RISK aversion, *STOCK price indexes, *COVID-19 pandemic

The Application of APT in Predicting the Stock Performance through a Macro Variable Model Approach.

Autori: Riantani, Suskim Gusni Komariah, Siti

Zdroj: Economics & Business Quarterly Reviews. Dec2024, Vol. 7 Issue 4, p1-11. 11p.

Predmety: *ARBITRAGE pricing theory, *STOCK prices, *MACROECONOMICS, *PRICE inflation, *RATE of return, PALM oil

Pricing and hedging for a sticky diffusion.

Autori: Anagnostakis, Alexis

Zdroj: Journal of Applied Probability; Dec2025, Vol. 62 Issue 4, p1235-1259, 25p

Predmety: HEDGING (Finance), ARBITRAGE pricing theory, STOCHASTIC processes, NUMERICAL analysis, INVESTMENT management, MARKET value

The Impact of the Last Two Presidential Periods on the Performance of the Indonesia Stock Exchanges: An Approach of Arbitrage Pricing Theory.

Autori: Garnia, Erna Riadi, Deden Rizal Tahmat, T. a ďalší

Zdroj: Contemporary Economics. Sep2024, Vol. 18 Issue 3, p301-320. 20p.

Predmety: *ARBITRAGE pricing theory, *PRICES, *STOCKS (Finance), *RATE of return on stocks, *ECONOMIC indicators, PRINCIPAL components analysis

Capital Mobility Based on Onshore-Offshore Arbitrage: Empirical Evidence from India and China.

Autori: Aggarwal, Nidhi Arora, Sanchit Sengupta, Rajeswari

Zdroj: Open Economies Review; Sep2025, Vol. 36 Issue 4, p1125-1155, 31p

Predmety: CAPITAL movements, CAPITAL controls, EMPIRICAL research, ECONOMIC conditions in China, ARBITRAGE pricing theory, COUNTRIES, ARBITRAGE

Geografický termín: CHINA, INDIA

THEORETICAL AND APPLIED ASPECTS OF THE STUDY OF INVESTMENT BEHAVIOR THEORIES.

Autori: Shyskina, Olena Borysenko, Ihor

Zdroj: Scientific Bulletin of Polissia. 2024, Vol. 28 Issue 1, p309-328. 20p.

Predmety: *ARBITRAGE pricing theory, *BEHAVIORAL economics, *INVESTORS, *BOUNDED rationality, *EXPECTANCY theories, *ARBITRAGE, *EFFICIENT market theory

Macroeconomic State Variables and Stock Market Performance: A Systematic Review and Future Research Agenda.

Autori: Lone, Umer Mushtaq Darzi, Mushtaq Ahmad Bhat, Suhail Ahmad

Zdroj: FIIB Business Review. Mar2024, Vol. 13 Issue 2, p172-191. 20p.

Predmety: *RATE of return on stocks, *ARBITRAGE pricing theory, *INVESTORS, EVIDENCE gaps, RESEARCH personnel

COMPARATIVE ANALYSIS OF INVESTMENT RETURN CALCULATIONS BETWEEN SINGLE INDEX MODEL (SIM), CAPITAL ASSET PRICING MODEL (CAPM), AND ARBITRAGE PRICING THEORY (APT) IN 8 MINING COMPANY SECTORS.

Autori: Noviani, Dinda Natigor S., Dayan Hakim Sudaryo, Yoyo a ďalší

Zdroj: Eduvest: Journal Of Universal Studies. Sep2024, Vol. 4 Issue 9, p7560-7575. 16p.

Predmety: *CAPITAL assets pricing model, *ARBITRAGE pricing theory, *INVESTMENT analysis, *INVESTORS, *MINING corporations

The application of factors analysis and arbitrage pricing theory (APT) to determine expected return of sharia stocks in Indonesia.

Autori: Miasary, Seftina Diyah Nisa, Eva Khoirun

Zdroj: AIP Conference Proceedings. 2024, Vol. 3046 Issue 1, p1-7. 7p.

Predmety: *EXPECTED returns, *ARBITRAGE pricing theory, *RATE of return on stocks, *INDUSTRIAL production index, *GOLD sales & prices

Geografický termín: ACCRA (Ghana), INDONESIA

Application of the arbitrage pricing based on Gaussian temporal factor analysis (TFA) for the prediction of cryptocurrency prices

Autori: A.D. Gbadebo L.A. Abdulrauf

Zdroj: Вісник Харківського національного університету імені В.Н. Каразіна: Серія Економіка, Iss 108, Pp 49-58 (2025)

Predmety: arbitrage pricing theory, gaussian temporal factor analysis, cryptocurrency, Business, HF5001-6182, Economics as a science, HB71-74

Popis súboru: electronic resource

Relation: https://periodicals.karazin.ua/economy/article/view/26841; https://doaj.org/toc/2311-2379

Prístupová URL adresa: https://doaj.org/article/f4d33272317640f4b722263dbce21319

Chapter 4: Risk-Return Tradeoffs: 4.6: Alphas.

Autori: Kelly, Bryan Dacheng Xiu

Zdroj: Foundations & Trends in Finance. 2023, Vol. 13 Issue 3/4, p304-310. 7p.

Predmety: *ASSETS (Accounting), *ARBITRAGE pricing theory, *STATISTICAL hypothesis testing, *FINANCE, SAMPLE size (Statistics)

Chapter 4: Risk-Return Tradeoffs: 4.3: Conditional Factor Models.

Autori: Kelly, Bryan Dacheng Xiu

Zdroj: Foundations & Trends in Finance. 2023, Vol. 13 Issue 3/4, p294-299. 6p.

Predmety: *ARBITRAGE pricing theory, *FINANCE, MACHINE learning

Chapter 4: Risk-Return Tradeoffs: 4.2: Unconditional Factor Models.

Autori: Kelly, Bryan Dacheng Xiu

Zdroj: Foundations & Trends in Finance. 2023, Vol. 13 Issue 3/4, p286-294. 9p.

Predmety: *ARBITRAGE pricing theory, *FINANCE, MACHINE learning

What do we know about informational efficiency? Three puzzles and the new direction forward.

Autori: Go, You‐How Lau, Wee‐Yeap

Zdroj: Journal of Economic Surveys. Sep2023, Vol. 37 Issue 4, p1489-1525. 37p. 1 Diagram, 5 Charts.

Predmety: *REAL economy, *ARBITRAGE pricing theory, *FINANCIAL market reaction, *FINANCIAL markets, *MARKET prices, *MARKET pricing, *SPOT prices

Nonlinear dependencies in the Fama and French three-factor model.

Autori: Bandurski, Jakub Postek, Łukasz

Zdroj: Investment Analysts Journal. Jun2023, Vol. 52 Issue 2, p106-131. 26p.

Predmety: *ARBITRAGE pricing theory

TEST OF ARBITRAGE PRICING THEORY ON STOCK INDICES: AN EMPIRICAL STUDY ON BIST100.

Autori: AKEL, Veli CISSE, Boubacar Amadou

Zdroj: Revista Economică. 2023, Vol. 75 Issue 1, p7-18. 12p.

Predmety: *ARBITRAGE pricing theory, *STOCK price indexes, *INTEREST rates, *ARBITRAGE, *FINANCIAL literacy, *RATE of return on stocks, *FOREIGN exchange rates

Geografický termín: ISTANBUL (Turkey)

Optimal Stock Portfolio Analysis using Mean-Value at Risk (Mean-VaR) under Arbitrage Pricing Theory (APT)

Autori: Puspa Dwi Ayu Banowati Betty Subartini Sukono Sukono

Zdroj: International Journal of Business, Economics, and Social Development, Vol 5, Iss 1, Pp 64-71 (2024)

Predmety: arbitrage pricing theory, HF5001-6182, stock, Business, optimal portfolio, issi, mean-value at risk

Prístupová URL adresa: https://doaj.org/article/6f58eed02c0646388aa361cb1a696e44