A simple robust asset pricing model under statistical ambiguity
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Cites work
- scientific article; zbMATH DE number 3847315 (Why is no real title available?)
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Cited in
(10)- REEXAMINATION OF THE ROBUSTNESS OF THE FAMA-FRENCH THREE-FACTOR MODEL
- Gain-loss pricing under ambiguity of measure
- Incorporating statistical model error into the calculation of acceptability prices of contingent claims
- Knightian uncertainty emotion of investors and the huge fluctuations of stock market
- Robustification of an On-line EM Algorithm for Modelling Asset Prices Within an HMM
- Quantifying ambiguity bounds via time-consistent sets of indistinguishable models
- Entropy augmented asset pricing model: study on Indian stock market
- Capital asset pricing model under distribution uncertainty
- Robustness of the market model
- A robust rational route to randomness in a simple asset pricing model
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