ARBITRAGE PRICING THEORY IN ERGODIC MARKETS

DOI10.1142/S021902491850036XzbMath1396.91822OpenAlexW2768210196WikidataQ129441885 ScholiaQ129441885MaRDI QIDQ4584704

Gabriel Frahm

Publication date: 4 September 2018

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s021902491850036x

zbMATH Keywords

ergodicityarbitrage pricing theoryfactor modelseemingly unrelated regressionidiosyncratic riskbetaexpected returncommon risk

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Actuarial science and mathematical finance (91G99)

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Cites Work

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