30 search results - page 1 / 6 » Robust estimation in Capital Asset Pricing Model |
JAMDS
2000
13 years 10 months ago
2000
Bian and Dickey (1996) developed a robust Bayesian estimator for the vector of regression coefficients using a Cauchy-type g-prior. This estimator is an adaptive weighted average o...
Lecture Notes
These notes cover several topics such as The classic capital asset pricing model, The CAPM in general equilibrium, Infinite horizon economies, Continuous time models, Asset pricing...
IJAR
2008
13 years 11 months ago
2008
Using Shafer and Vovk's game-theoretic framework for probability, we derive a capital asset pricing model from an efficient market hypothesis, with no assumptions about the b...
AICS
2009
13 years 8 months ago
2009
We propose the development of a prediction market to provide a form of collective intelligence for forecasting prices for "toxic assets" to be transferred from Irish bank...
CORR
2002
Springer
13 years 10 months ago
2002
Springer
In a seminal paper in 1973, Black and Scholes argued how expected distributions of stock prices can be used to price options. Their model assumed a directed random motion for the ...