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ARBITRAGE PRICING THEORY IN ERGODIC MARKETS - MaRDI portal

ARBITRAGE PRICING THEORY IN ERGODIC MARKETS (Q4584704)

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scientific article; zbMATH DE number 6931444
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ARBITRAGE PRICING THEORY IN ERGODIC MARKETS
scientific article; zbMATH DE number 6931444

    Statements

    title
    ARBITRAGE PRICING THEORY IN ERGODIC MARKETS (English)
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    author
    Gabriel Frahm
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    publication date
    4 September 2018
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    zbMATH DE Number
    6931444
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    zbMATH Keywords
    arbitrage pricing theory
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    beta
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    common risk
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    ergodicity
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    expected return
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    factor model
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    idiosyncratic risk
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    seemingly unrelated regression
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    OpenAlex ID
    W2768210196
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    Wikidata QID
    Q129441885
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