scientific article; zbMATH DE number 1782551

MaRDI QIDQ4545820zbMATH OpenFDO

Authors Bing Yang, Weide Li

Publication date 2001

zbMATH Keywords

arbitrage-free principleARCH modelmean-variance utility functionrisk-free return

Mathematics Subject Classification ID

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• Extension of the Capital Asset Pricing Model to Non-normal Dependence Structures
• A Chance‐constraint Programming Approach to the Capital Pricing Model
• Expected utility theory on general affine GARCH models

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