Asset pricing theory.
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Publication:3619682
zbMATH Open1169.91003MaRDI QIDQ3619682FDOQ3619682
Authors: Costis Skiadas 
Publication date: 8 April 2009
Recommendations
dynamic optimalitymean-variance analysisrisk aversionportfoliosarbitragefinancial marketfinancial contractsdominant choice and option pricingdynamic arbitrage pricingoptimal consumption and portfolio choiceoptimality and equilibriumrepresentative-agent pricing
Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Microeconomic theory (price theory and economic markets) (91B24)
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- MARKET FORCES AND DYNAMIC ASSET PRICING
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- Divergent risk-attitudes and endogenous collateral constraints
- Leveraging a call-put ratio as a trading signal
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- Financial markets theory. Equilibrium, efficiency and information
- A Bayesian beta Markov random field calibration of the term structure of implied risk neutral densities
- Asset pricing. A structural theory and its applications.
- Stochastic methods in asset pricing
- Modeling systemic risk with Markov switching graphical SUR models
- Asset pricing for dynamic economies.
- On a class of infinite-dimensional singular stochastic control problems
- Predetermined interest rates in an analytical RBC model
- Global and regional risks in currency returns
- High-dimensional latent panel quantile regression with an application to asset pricing
- Solving Euler equations via two-stage nonparametric penalized splines
- Option pricing in markets with informed traders
- Measuring systematic risk with neural network factor model
- A Simple Method for Predicting Covariance Matrices of Financial Returns
- A partial introduction to financial asset pricing theory.
- Dynamic choice with constant source-dependent relative risk aversion
- On LASSO for predictive regression
- Empirical dynamic asset pricing: model specification and econometric assessment
- Intraday cross-sectional distributions of systematic risk
- Financial markets theory. Equilibrium, efficiency and information
- General equilibrium pricing with multiple dividend streams and regime switching
- A two price theory of financial equilibrium with risk management implications
- Empirical asset pricing. Models and methods
- Cash holdings, M\&A decision and risk premium
- The perfect marriage and much more: combining dimension reduction, distance measures and covariance
- Preference Robust Modified Optimized Certainty Equivalent
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- Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory
- Penetrating sporadic return predictability
- A dynamic equilibrium model for U-shaped pricing kernels
- Portfolio performance of linear SDF models: an out-of-sample assessment
- Asset pricing and portfolio choice theory.
- Problems in portfolio theory and the fundamentals of financial decision making
- Inference for conditional value-at-risk of a predictive regression
- Convex dynamic programming with (bounded) recursive utility
- Envelope theorems in Banach lattices and asset pricing
- Equilibrium asset returns in financial markets
- Measure distorted arrival rate risks and their rewards
- Portfolio theory for squared returns correlated across time
- Scale-invariant asset pricing and consumption/portfolio choice with general attitudes toward risk and uncertainty
- Enter the MATRIX model:a multi-agent model for transition risks with application to energy shocks
- Dynamic principal component CAW models for high-dimensional realized covariance matrices
- Hedging insurance books
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- Prospect theory and asset prices
- History of mathematics: a global cultural approach. Abstracts from the workshop held December 13--19, 2020 (online meeting)
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- Technical note: Options portfolio selection
- Regularized GMM for time-varying models with applications to asset pricing
- Assessing network risk with FRM: links with pricing kernel volatility and application to cryptocurrencies
- Asset pricing with neural networks: significance tests
- State-Varying Factor Models of Large Dimensions
- Which Factors are Risk Factors in Asset Pricing? A Model Scan Framework
- Theoretical foundations of asset pricing (to appear)
- Changes in the span of systematic risk exposures
- Large Dynamic Covariance Matrices
- Do not blame Bellman: it is Koopmans' fault
- An approximation approach to dynamic programming with unbounded returns
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