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发表于 2025-3-25 07:14:26
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iodides
发表于 2025-3-25 09:05:27
Capital Asset Pricing Model (CAPM)ollowed by a proof based on an explicit formula for the efficient portfolios. It then outlines an equilibrium model for the CAPM, defines the concepts of the market portfolio and capitalization weights and establishes the efficiency of the market portfolio. The highlight of the chapter is the Sharpe
IRS
发表于 2025-3-25 15:35:56
CAPM Continuedxplains how to interpret the CAPM as a pricing formula and as a (single) factor model. The reader will learn about systematic and specific risk and the role of portfolio diversification as a means for reducing the latter. The chapter concludes with a description of Jensen’s and Sharpe’s tests for th
eucalyptus
发表于 2025-3-25 17:02:28
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urethritis
发表于 2025-3-25 23:29:01
Problems and Exercises Ihe form of questions and answers. The others represent numerical examples on Mean-Variance Portfolio Analysis. Exercises of this kind can be used for tutorials, take-home tests and examinations. Detailed answers for all the questions are provided.
NEX
发表于 2025-3-26 03:37:38
Dynamic Securities Market Modelart I of the book. It states a multi-period version of the no-arbitrage hypothesis and discusses the concepts of market scenarios (histories), contingent portfolios, trading strategies, self-financing trading strategies, contingent claims and derivative securities. It presents one of the highlights
北极熊
发表于 2025-3-26 05:05:38
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AGATE
发表于 2025-3-26 10:01:12
The Cox–Ross–Rubinstein Binomial Models the construction of the risk-neutral probability measure, which is used for the pricing of a whole range of derivative securities. The examples considered include European put and call options, Asian average strike call and put, Asian average price call and put, and lookback call and put options.
condemn
发表于 2025-3-26 12:39:21
American Derivative Securities an exercise strategy defined in terms of the property of non-anticipativity. The main result is a backward induction algorithm for computing the upper (seller’s) price of an American derivative security.
Hla461
发表于 2025-3-26 17:32:58
From Binomial Model to Black–Scholes Formulae limit from the binomial model. The chapter begins with introducing some relevant notions: drift and volatility, continuous compounding, geometric random walk, etc. It then shows how to approximate the observed continuous-time price process with constant drift and volatility by price processes gene