Equilibrium asset returns in financial markets

DOI10.1142/S0219024918500632MaRDI QIDQ4631695zbMATH OpenOpenAlexWikidataFDO

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

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)

Recommendations

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Cites work

• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Affine processes and applications in finance
• Asset pricing theory.
• High-frequency cross-correlation in a set of stocks
• Measuring and monitoring the efficiency of markets
• On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
• SELF-DECOMPOSABILITY AND OPTION PRICING
• Self-similar processes with independent increments
• Self-similarity in long-horizon returns
• The Variance Gamma Process and Option Pricing

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
• scientific article; zbMATH DE number 13844 (Why is no real title available?)
• 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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