Arbitrage pricing with estimation risk
Article Abstract:
An analysis of the arbitrage pricing theory is presented. The analysis assumes investors have no access to complete information concerning asset returns, where assets exhibit varying degrees of information availability. Thus, investors with Bayesian inclinations assign expected returns and factor betas for each asset available in the market. A linear relation is generated by these returns and factor betas.
Publication Name: Journal of Financial and Quantitative Analysis
Subject: Business
ISSN: 0022-1090
Year: 1993
User Contributions:
Comment about this article or add new information about this topic:
Negative moments, risk aversion and stochastic dominance
Article Abstract:
Stochastic dominance is a useful theoretical and practical tool for asset ranking. However, research has failed to establish simple general conditions for stochastic dominance. A study has established that an ordering of moment-generating functions is a prerequisite of stochastic dominance.
Publication Name: Journal of Financial and Quantitative Analysis
Subject: Business
ISSN: 0022-1090
Year: 1993
User Contributions:
Comment about this article or add new information about this topic:
- Abstracts: Asymmetric information, investment banking contracts and the certification hypothesis. Liquidity, Credit Creation and International Banking
- Abstracts: Stock and compensation. Agency costs, risk management, and capital structure. Agency, Delayed Compensation, and the Structure of Executive Remuneration
- Abstracts: On Bond Ratings and Pension Obligations: A Note. On the Estimation Risk in First-Order Stochastic Dominance: A Note
- Abstracts: Bond Price Dynamics and Options. Eventually, something has to give, right? Fiddling while loans burn