Positive alphas and a generalized multiple-factor asset pricing model

DOI10.1007/S11579-015-0149-1zbMATH Open1404.91113OpenAlexW3124106182MaRDI QIDQ253114FDOQ253114

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

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zbMATH Keywords

arbitrage pricingbeta modelmultiple-factor modelstock alpha

Mathematics Subject Classification ID

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

Cites Work

• An Intertemporal Capital Asset Pricing Model
• The fundamental theorem of asset pricing for unbounded stochastic processes
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• Positive alphas, abnormal performance, and illusory arbitrage
• The meaning of market efficiency
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• Stochastic finance. An introduction in discrete time
• Asset pricing for general processes

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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