POSITIVE ALPHAS, ABNORMAL PERFORMANCE, AND ILLUSORY ARBITRAGE

DOI10.1111/j.1467-9965.2011.00489.xzbMath1282.91117OpenAlexW3124230895MaRDI QIDQ4906513

Robert A. Jarrow, Philip E. Protter

Publication date: 28 February 2013

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2011.00489.x

zbMATH Keywords

performance evaluationCAPMstate price densitysystematic riskAPTmartingale measuresasset pricing modelarbitrage opportunitiesCCAPMlocal martingale measuresICAPMJensen's alphabetasexcess expected return

Mathematics Subject Classification ID

Related Items (7)

A novel methodology for perception-based portfolio management ⋮ Optional projection under equivalent local martingale measures ⋮ An empirical investigation of large trader market manipulation in derivatives markets ⋮ Strict local martingales with jumps ⋮ Filtration shrinkage, strict local martingales and the Föllmer measure ⋮ WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS ⋮ Positive alphas and a generalized multiple-factor asset pricing model

Cites Work

• Correlation and the pricing of risks
• Asset pricing for general processes
• Analysis of continuous strict local martingales via \(h\)-transforms
• The fundamental theorem of asset pricing for unbounded stochastic processes
• A general version of the fundamental theorem of asset pricing
• Risk-neutral compatibility with option prices
• ASSET PRICE BUBBLES IN INCOMPLETE MARKETS
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• An Intertemporal Capital Asset Pricing Model
• An intertemporal asset pricing model with stochastic consumption and investment opportunities

This page was built for publication: POSITIVE ALPHAS, ABNORMAL PERFORMANCE, AND ILLUSORY ARBITRAGE