Risk, Return, and Equilibrium

Citations

Cited by:

1. Victor Fang & Chien-Ting Lin & Kunaal Parbhoo, 2008. "Macroeconomic News, Business Cycles and Australian Financial Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 15(3), pages 185-207, December.
2. Alvaro Cartea & Sam Howison, 2004. "Option Pricing with Levy-Stable Processes," OFRC Working Papers Series 2004mf01, Oxford Financial Research Centre.
3. Shih-Yung Wei & Jao-Hong Cheng & Li-Wei Lin & Su-Mei Gan, 2020. "Volatility Asymmetry of Scale Indexes - Taking China as an Example," International Journal of Economics and Financial Issues, Econjournals, vol. 10(4), pages 158-169.
4. Jean Cordier, 2001. "Assurance, marchés financiers et politique publique," Économie rurale, Programme National Persée, vol. 266(1), pages 109-118.
   • Jean Cordier, 2001. "Assurance, marchés financiers et politique publique," Post-Print hal-02381901, HAL.
5. Jean-Jacques Rosa, 1977. "Réponse aux commentaires de M Mouillart," Revue Économique, Programme National Persée, vol. 28(2), pages 290-295.
6. Mirakhor, Abbas, 1987. "Analysis of Short-Term Asset Concentration in Islamic Banking," MPRA Paper 56029, University Library of Munich, Germany.
7. Obrimah, Oghenovo A., 2023. "Outside of a sole globally risk averse agent, all other agents in markets are risk seeking agents," Finance Research Letters, Elsevier, vol. 54(C).
8. Bao, Te & Diks, Cees & Li, Hao, 2018. "A generalized CAPM model with asymmetric power distributed errors with an application to portfolio construction," Economic Modelling, Elsevier, vol. 68(C), pages 611-621.
9. Toker Doganoglu & Christoph Hartz & Stefan Mittnik, 2007. "Portfolio optimization when risk factors are conditionally varying and heavy tailed," Computational Economics, Springer;Society for Computational Economics, vol. 29(3), pages 333-354, May.
   • Doganoglu, Toker & Hartz, Christoph & Mittnik, Stefan, 2006. "Portfolio optimization when risk factors are conditionally varying and heavy tailed," CFS Working Paper Series 2006/24, Center for Financial Studies (CFS).
10. Leitner Johannes, 2005. "Optimal portfolios with expected loss constraints and shortfall risk optimal martingale measures," Statistics & Risk Modeling, De Gruyter, vol. 23(1/2005), pages 49-66, January.
11. Gkillas, Konstantinos & Konstantatos, Christoforos & Floros, Christos & Tsagkanos, Athanasios, 2021. "Realized volatility spillovers between US spot and futures during ECB news: Evidence from the European sovereign debt crisis," International Review of Financial Analysis, Elsevier, vol. 74(C).
12. Stephen Satchell & David Damant & Soosung Hwang, 2000. "Exponential risk measure with application to UK asset allocation," Applied Mathematical Finance, Taylor & Francis Journals, vol. 7(2), pages 127-152.
13. Alvaro Cartea & Sam Howison, 2002. "Distinguished Limits of Levy-Stable Processes, and Applications to Option Pricing," OFRC Working Papers Series 2002mf04, Oxford Financial Research Centre.
14. Frijns, Bart & Lehnert, Thorsten & Zwinkels, Remco C.J., 2010. "Behavioral heterogeneity in the option market," Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2273-2287, November.
    • Thorsten Lehnert & Bart Frijns & Remco Zwinkels, 2009. "Behavioral Heterogeneity in the Option Market," LSF Research Working Paper Series 09-07, Luxembourg School of Finance, University of Luxembourg.
    • Bart Frijns & Thorsten Lehnert & Remco C.J. Zwinkels, 2010. "Behavioral heterogeneity in the option market," Post-Print hal-00736742, HAL.
15. Peter C. Dawson, 2015. "The capital asset pricing model in economic perspective," Applied Economics, Taylor & Francis Journals, vol. 47(6), pages 569-598, February.
    • Peter Dawson, 2013. "The Capital Asset Pricing Model in Economic Perspective," Alumni working papers 2013-01, University of Connecticut, Department of Economics, revised Nov 2014.
16. Salhi, Khaled & Deaconu, Madalina & Lejay, Antoine & Champagnat, Nicolas & Navet, Nicolas, 2016. "Regime switching model for financial data: Empirical risk analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 461(C), pages 148-157.
17. Panait, Iulian & Slavescu, Ecaterina Oana, 2012. "Skewness in stock returns: evidence from the Bucharest stock exchange during 2000 – 2011," MPRA Paper 38751, University Library of Munich, Germany.
18. Hassan, M. Kabir & Farhat, Joseph & Al-Zu'Bi, Bashir, 2003. "Dividend Signaling Hypothesis And Short-Term Asset Concentration Of Islamic Interest-Free Banking," Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), vol. 11, pages 2-30.
    • Joseph Farhat & M. Kabir Hassan & Bashir Al-Zu'bi, 2002. "Dvidend Signaling Hypothesis and Short-Term Asset Concentration of Islamic Interest-free Banking," Working Papers 0221, Economic Research Forum, revised 18 Jul 2002.
19. Czinkota, Michael R. & Knight, Gary A. & Liesch, Peter W. & Steen, John, 2005. "Positioning terrorism in management and marketing: Research propositions," Journal of International Management, Elsevier, vol. 11(4), pages 581-604, December.
20. Alvaro Cartea & Sam Howison, 2009. "Option pricing with Levy-Stable processes generated by Levy-Stable integrated variance," Quantitative Finance, Taylor & Francis Journals, vol. 9(4), pages 397-409.
    • Alvaro Cartea & Sam Howison, 2006. "Option Pricing with Lévy-Stable Processes Generated by Lévy-Stable Integrated Variance," Birkbeck Working Papers in Economics and Finance 0602, Birkbeck, Department of Economics, Mathematics & Statistics.
21. Prabhas Kumar Rath, 2023. "Nexus Between Indian Financial Markets and Macro-economic Shocks: A VAR Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(1), pages 131-164, March.
22. Carlos MACHADO-SANTOS & Ana Cristina FERNANDES, 2005. "Skewness in Financial Returns: Evidence from the Portuguese Stock Market (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 55(9-10), pages 460-470, September.
23. D.J. Johnstone, 2015. "Information and the Cost of Capital in a Mean-Variance Efficient Market," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 42(1-2), pages 79-100, January.
24. Richard M. Duvall & Judith L. Quinn, 1981. "Skewness Preference In Stable Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 4(3), pages 249-263, September.
25. Claude Bergeron, 2021. "The three-factor model without a linear return generating process," Economics Bulletin, AccessEcon, vol. 41(3), pages 1763-1772.
26. Bjorn Wahlroos & Tom Berglund, 1984. "Anomalies and Equilibrium Returns in a Small Stock Market," Discussion Papers 589, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
27. Burns, Natasha & Liebenberg, Ivonne, 2011. "U.S. takeovers in foreign markets: Do they impact emerging and developed markets differently?," Journal of Corporate Finance, Elsevier, vol. 17(4), pages 1028-1046, September.
28. Brenner, Menachem & Pasquariello, Paolo & Subrahmanyam, Marti, 2009. "On the Volatility and Comovement of U.S. Financial Markets around Macroeconomic News Announcements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(6), pages 1265-1289, December.