Positive alphas and a generalized multiple-factor asset pricing model

DOI10.1007/s11579-015-0149-1zbMath1404.91113OpenAlexW3124106182MaRDI QIDQ253114

Robert A. Jarrow, Philip E. Protter

Publication date: 8 March 2016

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-015-0149-1

zbMATH Keywords

arbitrage pricingbeta modelmultiple-factor modelstock alpha

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Actuarial science and mathematical finance (91G99)

Related Items

Asset market equilibrium with liquidity risk ⋮ THE LOW-VOLATILITY ANOMALY AND THE ADAPTIVE MULTI-FACTOR MODEL ⋮ A CAPM WITH TRADING CONSTRAINTS AND PRICE BUBBLES ⋮ An empirical investigation of large trader market manipulation in derivatives markets ⋮ BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Asset pricing for general processes
• The fundamental theorem of asset pricing for unbounded stochastic processes
• An Intertemporal Capital Asset Pricing Model
• POSITIVE ALPHAS, ABNORMAL PERFORMANCE, AND ILLUSORY ARBITRAGE
• THE MEANING OF MARKET EFFICIENCY
• Stochastic finance. An introduction in discrete time