Positive alphas, abnormal performance, and illusory arbitrage (Q4906513)
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scientific article; zbMATH DE number 6139567
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| English | Positive alphas, abnormal performance, and illusory arbitrage |
scientific article; zbMATH DE number 6139567 |
Statements
POSITIVE ALPHAS, ABNORMAL PERFORMANCE, AND ILLUSORY ARBITRAGE (English)
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28 February 2013
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Jensen's alpha
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betas
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excess expected return
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state price density
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arbitrage opportunities
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martingale measures
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local martingale measures
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systematic risk
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performance evaluation
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asset pricing model
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CAPM
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ICAPM
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CCAPM
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APT
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0.7174818515777588
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0.7131854295730591
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0.7040714621543884
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0.7040714621543884
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0.6981859803199768
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