Listagem Produção Intelectual em Bases Externas por Assunto "Modelo de precificação de ativos"
Itens para a visualização no momento 1-6 of 6
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Empirical test of conditional CAPM using expected returns of Brazilian, Argentinean, German and United States of American portfolio
2009In the last decades, CAPM model has been of great interest in the scientific scene. Despite all the criticism, the improvement of the static CAPM, which has generated new dynamic models, provided investors with stronger ... -
Estimando o prêmio de mercado brasileiro
2011-10-01Risky investments assume that profits are on average higher than those obtained from risk-free assets; this difference is traditionally called an equity risk premium. Its importance is unequivocal: for investors, when ... -
On the optimal investment
2016In 1988 Dybvig introduced the payoff distribution pricing model (PDPM) as an alternative to the capital asset pricing model (CAPM).Under this newparadigm agents preferences depend on the probability distribution of the ... -
Pricing rules and Arrow-Debreu ambiguous valuation
2012This paper considers pricing rules of single-period securities markets with finitely many states. Our main result characterizes those pricing rules C that are super-replication prices of a frictionless and arbitrage-free ... -
Teste do CAPM condicional dos retornos de carteiras dos mercados brasileiro, argentino e chileno, comparando-os com o mercado norte-americano
2010-03-01Over the last few decades the Capital Asset Pricing Model (CAPM) has roused great interest in the scientific community. Despite suffering criticism, improvements in the static CAPM have given rise to new dynamic models ...
