Equilibrium asset pricing and the cross section of expected returns

DOI10.1007/S10436-021-00383-7zbMath1470.91298OpenAlexW3139282514MaRDI QIDQ2045093

Joel M. Vanden

Publication date: 11 August 2021

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-021-00383-7

zbMATH Keywords

asset pricingequilibriumcharacteristicsbeta

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Portfolio theory (91G10)

Related Items (1)

Some properties of portfolios constructed from principal components of asset returns

Cites Work

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• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Common risk factors in the returns on stocks and bonds

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