An intertemporal capital asset pricing model under incomplete information and short sales

DOI10.1007/S10479-018-2909-9MaRDI QIDQ2288897zbMATH OpenOpenAlexWikidataFDO

Authors Mondher Bellalah, Detao Zhang

Publication date 20 January 2020

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10479-018-2909-9

zbMATH Keywords

information uncertaintyinter-temporal capital asset pricingshort sales

Mathematics Subject Classification ID

Dynamic programming (90C39) Interest rates, asset pricing, etc. (stochastic models) (91G30) Optimal stochastic control (93E20)

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Cites work

• A direct method in optimal portfolio and consumption choice
• A MODEL FOR MARKET CLOSURE AND INTERNATIONAL PORTFOLIO MANAGEMENT WITHIN INCOMPLETE INFORMATION
• A simple model of corporate international investment under incomplete information and taxes
• An intertemporal asset pricing model with stochastic consumption and investment opportunities
• An Intertemporal Capital Asset Pricing Model
• Optimum consumption and portfolio rules in a continuous-time model
• Short-sale constraints, information acquisition, and asset prices

Cited in

(12)

• Pricing derivatives in the presence of shadow costs of incomplete information and short sales
• General equilibrium with heterogeneous participants and continuous consumption with information costs and short selling constraints
• International capital asset pricing model: the case of asymmetric information and short-sale
• The instantaneous capital market line
• A MODEL FOR MARKET CLOSURE AND INTERNATIONAL PORTFOLIO MANAGEMENT WITHIN INCOMPLETE INFORMATION
• On the Discrete Time Capital Asset Pricing Model
• An Intertemporal General Equilibrium Asset Pricing Model: The Case of Diffusion Information
• A CAPM with trading constraints and price bubbles
• Continuous equilibrium in affine and information-based capital asset pricing models
• The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models
• An Intertemporal Capital Asset Pricing Model
• Application of intertemporal CAPM on international corporate finance

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