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Tekijä:Cerny, A.
Otsikko:Generalised Sharpe Ratios and asset pricing in incomplete markets
Lehti:European Finance Review
2003 : VOL. 7:2, p. 191-233
Asiasana:Asset valuation
Incomplete markets
Market theory
Portfolio selection
Price level
Arbitrage
Vapaa asiasana:Martingale methods
Kieli:eng
Tiivistelmä:This paper presents an incomplete market pricing methodology generating asset price bounds conditional on the absence of attractive investment opprtunities in equilibrium. It extends and generalises the seminal article of Cochrane and SaĆ”-Requejo who pioneered option pricing based on the absence of arbitrage and high Sharpe Ratios.
SCIMA tietueen numero: 256440
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