Equilibrium asset returns in financial markets

DOI10.1142/S0219024918500632zbMATH Open1411.91520OpenAlexW2903027441WikidataQ128822360 ScholiaQ128822360MaRDI QIDQ4631695FDOQ4631695

Authors: Dilip B. Madan, Wim Schoutens 

Publication date: 18 April 2019

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024918500632

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zbMATH Keywords

power variationbilateral gammaacceptability indexsupport vector machine regression

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Cites Work

• Title not available (Why is that?)
• Affine processes and applications in finance
• Title not available (Why is that?)
• The Variance Gamma Process and Option Pricing
• Asset pricing theory.
• Self-similar processes with independent increments
• SELF-DECOMPOSABILITY AND OPTION PRICING
• On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
• High-frequency cross-correlation in a set of stocks
• Measuring and monitoring the efficiency of markets
• Self-similarity in long-horizon returns

Cited In (12)

• Equilibrium Predictability, Term Structure of Equity Premia, and Other Return Characteristics
• Distribution of asset price movement and market potential
• Asymmetric competition, risk, and return distribution
• Changes in the output Euler equation and asset markets participation
• Title not available (Why is that?)
• Nonlinear equity valuation using conic finance and its regulatory implications
• Lower and upper pricing of financial assets
• Dynamic equilibrium and volatility in financial asset markets
• Risk neutral jump arrival rates implied in option prices and their models
• MULTIVARIATE DISTRIBUTIONS FOR FINANCIAL RETURNS
• Equilibrium with new investment opportunities
• Efficient equity

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