Projection pricing

DOI10.1023/A:1017596419383zbMath0972.91058OpenAlexW2912999032MaRDI QIDQ5942342

David G. Luenberger

Publication date: 28 August 2001

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1017596419383

zbMATH Keywords

Hilbert spacecapital asset pricing modelcorrelation pricingprojection theorem

Mathematics Subject Classification ID

Inner product spaces and their generalizations, Hilbert spaces (46C99)

Related Items (10)

Good deals and benchmarks in robust portfolio selection ⋮ A projection pricing model for non-Gaussian financial returns ⋮ Good deal indices in asset pricing: actuarial and financial implications ⋮ Simplified mean-variance portfolio optimisation ⋮ Nonconvex optimization for pricing and hedging in imperfect markets ⋮ Pricing a nontradeable asset and its derivatives. ⋮ Sequential arbitrage measurements and interest rate envelopes ⋮ Extending pricing rules with general risk functions ⋮ Pricing dynamic binary variables and their derivatives ⋮ A correlation pricing formula.

Cites Work

• Valuing Risky Projects: Option Pricing Theory and Decision Analysis
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