The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time
type: Item
instance of: scholarly article
title: The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time
zbMATH Open document ID: 1482.91209
author: Emanuela Rosazza Gianin
author: Patrick Beissner
published in: Probability, Uncertainty and Quantitative Risk
publication date: 2021-07-06T00:00:00Z
Mathematics Subject Classification ID: 91G30
Mathematics Subject Classification ID: 60H30
zbMATH DE Number: 7368212
zbMATH Keywords: Volterra equations
zbMATH Keywords: BSDEs
zbMATH Keywords: asset pricing
zbMATH Keywords: time inconsistency
zbMATH Keywords: arbitrage-free
zbMATH Keywords: incomplete markets
zbMATH Keywords: term structures
zbMATH Keywords: Sharpe ratio
MaRDI profile type: Publication
full work available at URL: puqr.2021002
OpenAlex ID: W2900106441
cites work: Separable utility functions
cites work: Q3613976
cites work: Dynamically consistent alpha‐maxmin expected utility
cites work: A Malliavin-type anticipative stochastic calculus
cites work: A Fubini theorem for iterated stochastic integrals
cites work: Theorems of Fubini Type for Iterated Stochastic Integrals
cites work: An extension of the stochastic integral
cites work: Shifting martingale measures and the birth of a bubble as a submartingale
cites work: Conjugate convex functions in optimal stochastic control
cites work: Arbitrage Theory in Continuous Time
cites work: Local volatility dynamic models
cites work: Ambiguity, Risk, and Asset Returns in Continuous Time
cites work: Filtration-consistent nonlinear expectations and related \(g\)-expectations
cites work: I-divergence geometry of probability distributions and minimization problems
cites work: REPRESENTING MARTINGALE MEASURES WHEN ASSET PRICES ARE CONTINUOUS AND BOUNDED
cites work: Q5294265
cites work: Representation of the penalty term of dynamic concave utilities
cites work: A general version of the fundamental theorem of asset pricing
cites work: Backward stochastic differential equations with time delayed generators -- results and counterexamples
cites work: A note on comonotonicity and positivity of the control components of decoupled quadratic FBSDE
cites work: Q4794153
cites work: Stochastic Differential Utility
cites work: Continuous-time security pricing. A utility gradient approach
cites work: Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
cites work: Backward Stochastic Differential Equations in Finance
cites work: A Discrete Time Equivalent Martingale Measure
cites work: Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
cites work: Q3974816
cites work: On the rate of convergence of discrete-time contingent claims.
cites work: Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance *
cites work: Martingales and arbitrage in multiperiod securities markets
cites work: Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
cites work: Linear Volterra backward stochastic integral equations
cites work: On the pricing of contingent claims under constraints
cites work: Backward stochastic differential equations and partial differential equations with quadratic growth.
cites work: DIFFERENTIABILITY OF BSVIEs AND DYNAMIC CAPITAL ALLOCATIONS
cites work: Consumption-Savings Decisions with Quasi-Geometric Discounting
cites work: On the structure and diversity of rational beliefs
cites work: Existence for BSDE with superlinear–quadratic coefficient
cites work: Asset Prices in an Exchange Economy
cites work: Dynamic exponential utility indifference valuation
cites work: Continuous-time term structure models: Forward measure approach
cites work: Adapted solution of a backward stochastic differential equation
cites work: TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
cites work: Q4357507
cites work: Q4657107
cites work: Risk measures via \(g\)-expectations
cites work: Pricing via utility maximization and entropy.
cites work: TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS
cites work: Comparison theorems for some backward stochastic Volterra integral equations
cites work: Backward stochastic Volterra integral equations and some related problems
cites work: Backward stochastic Volterra integral equations -- a brief survey
cites work: Continuous-time dynamic risk measures by backward stochastic Volterra integral equations
cites work: Backward Stochastic Differential Equations
DOI: 10.3934/PUQR.2021002
Recommended article: Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset
Recommended article: Arbitrage Theory in Continuous Time
Recommended article: The structural Sharpe model undert-distributions

The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time (Recommended article)
Recommended article: Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets *
Similarity Score: 0.8564501
Recommender Run: Recommender Run 3

The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time (Recommended article)
Recommended article: Arbitrage bounds for the term structure of interest rates
Similarity Score: 0.8543185
Recommender Run: Recommender Run 3

The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time (Recommended article)
Recommended article: A note on arbitrage in term structure
Similarity Score: 0.85198194
Recommender Run: Recommender Run 3

The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time (Recommended article)
Recommended article: The term structure of equity and variance risk premia
Similarity Score: 0.8480944
Recommender Run: Recommender Run 3

The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time (Recommended article)
Recommended article: An arbitrage‐free generalized Nelson–Siegel term structure model
Similarity Score: 0.8480023
Recommender Run: Recommender Run 3

The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time (Recommended article)
Recommended article: An arbitrage theory of the term structure of interest rates
Similarity Score: 0.8457301
Recommender Run: Recommender Run 3