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Valuation of Risky Assets in Arbitrage Free Economies with Frictions
5 references·4 citing·37 second hop
Valuation of Risky Assets in Arbitrage Free Economies with Frictions (1986)Valuation of Risky Assets in Arbitrage Fr…Arbitrage and Martingales with Taxation (1987)Arbitrage and Martingales wit…Valuation of risky assets in arbitrage-free economies with transactions costs (1981)Valuation of risky assets in …Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …A Simple Approach to the Valuation of Risky Streams (1978)A Simple Approach to the Valu…Risk and return in finance (1977)Risk and return in financePut–Call Parity and market frictions (2015)Put–Call Parity and market fr…A linear risk-return model for enhanced indexation in portfolio optimization (2014)A linear risk-return model fo…No Arbitrage and Valuation in Markets with Realistic Transaction Costs (1993)No Arbitrage and Valuation in…Econometric Evaluation of Asset Pricing Models (1993)Econometric Evaluation of Ass…The Pricing of Options and Corporate Liabilities (1973)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration (1989)Simulation and the Asymptotics of Optimization Estimators (1989)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis (1991)Does Money Explain Asset Returns? Theory and Empirical Analysis (1996)Conditioning Information and Variance Bounds on Pricing Kernels (2001)Stochastic Discount Factor Bounds with Conditioning Information (2002)Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficient Diversification of Investments. (1962)Mutual Fund Performance (1966)A Biased-Randomized Iterated Local Search Algorithm for Rich Portfolio Optimization (2019)Enhanced index tracking with CVaR-based ratio measures (2020)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)Efficient Capital Markets and Martingales (1989)Gain, Loss, and Asset Pricing (2000)Jump risk, stock returns, and slope of implied volatility smile (2010)Risk, Ambiguity, and the Savage Axioms (1961)Asset pricing and the bid-ask spread (1986)The arbitrage theory of capital asset pricing (1976)DEBT AND TAXES* (1977)Tax Clienteles and Asset Pricing (1986)Tax Arbitrage and the Existence of Equilibrium Prices for Financial Assets (1987)Tax-Adjusted Discount Rates (1990)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Price, trade size, and information in securities markets (1987)SUPERHEDGING IN ILLIQUID MARKETS (2010)Price Systems for Random Amounts (2015)The Valuation of Uncertain Income Streams and the Pricing of Options (1976)Option pricing: A simplified approach (1979)Why is the Accrual Anomaly Not Arbitraged Away? (2004)IT'S 11 PM—DO YOU KNOW WHERE YOUR LIQUIDITY IS?: THE MEAN–VARIANCE–LIQUIDITY FRONTIER (2005)The Arbitrage Pricing Theory: Is it Testable? (1982)International Arbitrage Pricing Theory (1983)Changes in Expected Security Returns, Risk, and the Level of Interest Rates (1989)
this work references cited by second hop

References

  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1978A Simple Approach to the Valuation of Risky Streams578 cited
  • 1977Risk and return in finance265 cited
  • 1987Arbitrage and Martingales with Taxation104 cited
  • 1981Valuation of risky assets in arbitrage-free economies with transactions costs80 cited

Cited by

  • 2014A linear risk-return model for enhanced indexation in portfolio optimization45 cited
  • 1993Econometric Evaluation of Asset Pricing Models43 cited
  • 2015Put–Call Parity and market frictions42 cited
  • 1993No Arbitrage and Valuation in Markets with Realistic Transaction Costs33 cited

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