scholarly journals Heterogeneous beliefs and adaptive behaviour in a continuous-time asset price model

2012 ◽  
Vol 36 (7) ◽  
pp. 973-987 ◽  
Author(s):  
Xue-Zhong He ◽  
Kai Li
Keyword(s):  
Continuous Time ◽  
Asset Price ◽  
Heterogeneous Beliefs ◽  
Adaptive Behaviour ◽  
Price Model ◽  
Asset Price Model

An Asset Price Model of Aggregate Investment

1975 ◽  
Vol 16 (3) ◽  
pp. 625 ◽  
Author(s):  
Robert F. Engle ◽  
Duncan K. Foley
Keyword(s):  
Asset Price ◽  
Price Model ◽  
Asset Price Model ◽  
Aggregate Investment

Numerical treatment of an asset price model with non-stochastic uncertainty

Top ◽  
2002 ◽  
Vol 10 (1) ◽  
pp. 1-30 ◽  
Author(s):  
R. Tichatschke ◽  
A. Kaplan ◽  
T. Voetmann ◽  
M. Böhm
Keyword(s):  
Asset Price ◽  
Numerical Treatment ◽  
Price Model ◽  
Stochastic Uncertainty ◽  
Asset Price Model

CARTERAS COLECTIVAS EN COLOMBIA Y LAS HERRAMIENTAS DE MEDICIÓN PARA LA GENERACIÓN DE VALOR

2012 ◽  
Vol 3 (6) ◽  
pp. 107 ◽  
Author(s):  
Andrés Felipe Piedrahita Campo
Keyword(s):  
Asset Price ◽  
Capital Asset Price Model ◽  
Capital Asset ◽  
Price Model ◽  
Asset Price Model ◽  
Portfolio Managers ◽  
French Model

En el mercado colombiano, las carteras colectivas que invierten en acciones han obtenido en la mayoría de los casos altos retornos, sin embargo, y como se demostrara en el desarrollo de este trabajo, no siempre altos retornos significa generación de valor. Es así como se ha realizado una evaluación a la generación de valor de los administradores de portafolio (Portfolio Managers) de algunas carteras colectivas seleccionadas representativas del mercado colombiano. Para ello se utilizaron 2 modelos: el Capital Asset Price Model (CAPM) y el CAPM de tres factores (Fama – French Model). Durante la investigación se denotó que no existe tal generación de valor para los portafolios administrados de cuatro firmas reconocidas en el mercado colombiano, y no se encontró evidencia que exista la capacidad de generar alfa (α) durante el periodo de análisis (2006-2011).

scholarly journals European Option Pricing with Transaction Costs in Lévy Jump Environment

2014 ◽  
Vol 2014 ◽  
pp. 1-6
Author(s):  
Jiayin Li ◽  
Huisheng Shu ◽  
Xiu Kan
Keyword(s):  
Option Pricing ◽  
Transaction Costs ◽  
Asset Price ◽  
Risky Asset ◽  
Time Interval ◽  
European Option ◽  
Price Model ◽  
Time Model ◽  
European Option Pricing ◽  
Asset Price Model

The European option pricing problem with transaction costs is investigated for a risky asset price model with Lévy jump. By the aid of arbitrage pricing theory and the generalized Itô formula (which includes Poisson jump), the explicit solution to the risk asset price model is given. According to arbitrage-free principle, we first discretize the continuous-time model. Then, in each small time interval, the transaction costs are introduced. By using theΔ-hedging strategy, the explicit solutions of the European options pricing formula with transaction costs are given for the risky asset price model with Lévy jump.

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