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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