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Asset Pricing Implications of Pareto Optimality with Private Information
Private Information Pareto Optimality
2015/7/23
We compare the empirical performance of a standard incomplete
markets asset pricing model with that of a novel model with constrained Pareto-optimal allocations. We represent the models’ stochastic d...
In this paper we introduce a simple continuous-time asset pricing framework, based on general multidimensional diffusion processes, that combines semi-analytic pricing with a nonlinear specification f...
This work aims at a deeper understanding of the mathematical implications of the economically-sound condition of absence of arbitrages of the first kind in a financial market. In the
spirit of the Fu...