Positive alphas and a generalized multiple-factor asset pricing model

DOI10.1007/S11579-015-0149-1MaRDI QIDQ253114zbMATH OpenOpenAlexFDO

Authors Robert A. Jarrow, Philip Protter

Publication date 8 March 2016

Published in Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11579-015-0149-1

zbMATH Keywords

arbitrage pricingbeta modelmultiple-factor modelstock alpha

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Actuarial science and mathematical finance (91G99)

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Cites work

• scientific article; zbMATH DE number 3172146 (Why is no real title available?)
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• scientific article; zbMATH DE number 3315342 (Why is no real title available?)
• An Intertemporal Capital Asset Pricing Model
• Asset pricing for general processes
• Positive alphas, abnormal performance, and illusory arbitrage
• Stochastic finance. An introduction in discrete time
• The fundamental theorem of asset pricing for unbounded stochastic processes
• The meaning of market efficiency

Cited in

(9)

• Erratum to: ``Positive alphas and a generalized multiple-factor asset pricing model
• Bubbles and multiple-factor asset pricing models
• Asset market equilibrium with liquidity risk
• Cross-section without factors: a string model for expected returns
• Smart Alpha: active management with unstable and latent factors
• THE LOW-VOLATILITY ANOMALY AND THE ADAPTIVE MULTI-FACTOR MODEL
• A CAPM with trading constraints and price bubbles
• Equilibrium asset pricing and the cross section of expected returns
• An empirical investigation of large trader market manipulation in derivatives markets

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