Testing for Expected Return and Market Price of Risk in Chinese A-B Share Markets: A Geometric Brownian Motion and Multivariate Garch Model Approach

2007 ◽  
Author(s):  
Jie Zhu
Keyword(s):  
Brownian Motion ◽  
Market Price ◽  
Garch Model ◽  
Geometric Brownian Motion ◽  
Multivariate Garch ◽  
Expected Return ◽  
Market Price Of Risk ◽  
Multivariate Garch Model ◽  
Price Of Risk ◽  
Model Approach

scholarly journals Is There A Difference Between Domestic And Foreign Risk Premium? The Case Of China Stock Market

2014 ◽  
Vol 30 (5) ◽  
pp. 1287
Author(s):  
Frederic Teulon ◽  
Khaled Guesmi ◽  
Salma Fattoum
Keyword(s):  
Stock Returns ◽  
Risk Premium ◽  
Market Price ◽  
Time Varying ◽  
Expected Return ◽  
Market Price Of Risk ◽  
Market Prices ◽  
Price Of Risk ◽  
Show Evidence ◽  
The Difference

This article studies the dynamic return and market price of risk for Chinese stocks (A-B shares). A Multivariate DCC-GARCH model is used to capture the feature of time-varying volatility in stock returns. We show evidence of different pricing mechanisms explained by the difference in the expected return and market price of risk between A and B shares. However, the significance of the difference between market prices of risk disappears if GARCH models are used.

Empirical Evaluation of the Market Price of Risk Using the CIR Model

2005 ◽  
Author(s):  
Massimo Bernaschi ◽  
Luca Torosantucci ◽  
Adamo Uboldi
Keyword(s):  
Market Price ◽  
Empirical Evaluation ◽  
Market Price Of Risk ◽  
Cir Model ◽  
Price Of Risk

scholarly journals Implicit incentives for fund managers with partial information

2021 ◽  
Author(s):  
Flavio Angelini ◽  
Katia Colaneri ◽  
Stefano Herzel ◽  
Marco Nicolosi
Keyword(s):  
Asset Allocation ◽  
Partial Information ◽  
Market Price ◽  
Investment Strategy ◽  
Expected Returns ◽  
Martingale Method ◽  
Fund Manager ◽  
Market Price Of Risk ◽  
Fund Managers ◽  
Price Of Risk

AbstractWe study the optimal asset allocation problem for a fund manager whose compensation depends on the performance of her portfolio with respect to a benchmark. The objective of the manager is to maximise the expected utility of her final wealth. The manager observes the prices but not the values of the market price of risk that drives the expected returns. Estimates of the market price of risk get more precise as more observations are available. We formulate the problem as an optimization under partial information. The particular structure of the incentives makes the objective function not concave. Therefore, we solve the problem by combining the martingale method and a concavification procedure and we obtain the optimal wealth and the investment strategy. A numerical example shows the effect of learning on the optimal strategy.

On the market price of risk

2021 ◽  
Author(s):  
Robert Korkie ◽  
Harry Turtle
Keyword(s):  
Market Price ◽  
Market Price Of Risk ◽  
Price Of Risk

Time-varying market price of risk in the crude oil futures market

2010 ◽  
Vol 31 (8) ◽  
pp. 779-807 ◽  
Author(s):  
Ramaprasad Bhar ◽  
Damien Lee
Keyword(s):  
Crude Oil ◽  
Market Price ◽  
Futures Market ◽  
Time Varying ◽  
Market Price Of Risk ◽  
Oil Futures ◽  
Price Of Risk ◽  
Crude Oil Futures

A Multivariate GARCH Model Incorporating the Direct and Indirect Transmission of Shocks

2012 ◽  
Vol 32 (2) ◽  
pp. 244-271 ◽  
Author(s):  
Sarantis Tsiaplias ◽  
Chew Lian Chua
Keyword(s):  
Garch Model ◽  
Multivariate Garch ◽  
Indirect Transmission ◽  
Multivariate Garch Model
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