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Estimation of volatility of selected oil production projects
(Elsevier Science BvAmsterdamHolanda, 2006)
China’s financial growth: an asset pricing perspective
(FGV EPGE; Vale, 2011-03)
Apresentação do palestrante Jianping Mei - Cheung Kong Graduate School of Business no contexto do evento "China and the World Economy".
Public development financial institutions: excessively conservative investment policies?Instituições financeiras públicas de fomento: exagero de conservadorismo da política de investimentos?
(Escola Brasileira de Administração Pública e de Empresas da Fundação Getulio Vargas, 2010)
Generalized disappointment aversion, long-run volatility risk, and asset prices
(2011)
We propose an asset pricing model with generalized disappointment aversion preferences and long-run volatility risk. With Markov switching fundamentals, we derive closed-form solutions for all returns moments and predictability ...
Testing option pricing with the Edgeworth expansion
(Elsevier B.V., 2004-12-15)
There is a well-developed framework, the Black-Scholes theory, for the pricing of contracts based on the future prices of certain assets, called options. This theory assumes that the probability distribution of the returns ...
Testing option pricing with the Edgeworth expansion
(Elsevier B.V., 2004-12-15)
There is a well-developed framework, the Black-Scholes theory, for the pricing of contracts based on the future prices of certain assets, called options. This theory assumes that the probability distribution of the returns ...
Conditional alphas and realized betas
(2013-12-06)
This paper proposes a two-step procedure to back out the conditional alpha of a given stock using high-frequency data. We rst estimate the realized factor loadings of the stocks, and then retrieve their conditional alphas ...
Constructing common-factor portfolios
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2012-04-19)
In this paper we construct common-factor portfolios using a novel linear transformation of standard factor models extracted from large data sets of asset returns. The simple transformation proposed here keeps the basic ...