Listagem Documentos indexados pela Scopus por Assunto "Modelo de precificação de ativos"

Itens para a visualização no momento 1-3 of 3

    • Empirical test of conditional CAPM using expected returns of Brazilian, Argentinean, German and United States of American portfolio 

      Tambosi Filho, Elmo; Garcia, Fábio Gallo; Imoniana, Joshua Onome
      2009
      In 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 ...

    • On the optimal investment 

      Fajardo, José Manuel; Corcuera, José Manuel; Pamen, Olivier Menouken
      2016
      In 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 

      Araújo, Aloísio Pessoa de; Chateauneuf, Alain; Faro, José Heleno
      2012
      This 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 ...