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作者：Duffie, Darrell
作者单位：Stanford University
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作者：Kandel, Shmuel; Stambaugh, Robert F.
作者单位：University of Chicago; Tel Aviv University; University of Pennsylvania
摘要：This article presents a mean-variance framework for likelihood-ratio tests of asset pricing models. A pricing model is tested by examining the position of one or more reference portfolios in sample mean-standard-deviation space. Included are tests of both single-beta and multiple-beta relations, with or without a riskless asset, using either a general or a specific alternative hypothesis. Tests with a factor that is not a portfolio return are also included. The mean-variance framework is illus...
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作者：Boyle, Phelim P.; Evnine, Jeremy; Gibbs, Stephen
作者单位：University of California System; University of California Berkeley; University of Waterloo
摘要：We develop a numerical approximation method for valuing multivariate contingent claims. The approach is based on an n-dimensional extension of the lattice binomial method. Closed-form solutions for the jump probabilities and the jump amplitudes are obtained. The accuracy of the method is illustrated in the case of European options when there are three underlying assets.
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作者：Admati, Anat R.; Pfleiderer, Paul
作者单位：Stanford University
摘要：This article develops a model in which patterns in buy and sell volume, order imbalances, and expected price changes arise endogenously. The model covers cases in which the market maker is competitive and is a monopolist. Our results provide an explanation for the existence of patterns in mean returns within the trading day and across trading days.
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作者：Conrad, Jennifer; Kaul, Gautam
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of Michigan System; University of Michigan
摘要：This article develops and estimates a simple model for monthly expected stock returns that relies on the rapidly decaying structure of shorter-horizon (weekly) expected returns. The most striking aspect of our findings is that the rapid mean reversion in short-horizon expected returns implies much greater variation through time in monthly expected returns than has been documented in earlier studies. For instance, during the 1962 to 1985 period, over 25 percent of the return variance of small f...
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作者：Madan, Dilip B.; Milne, Frank; Shefrin, Hersh
作者单位：University System of Maryland; University of Maryland College Park; Australian National University; Santa Clara University
摘要：The Cox, Ross, and Rubinstein binomial model is generalized to the multinomial case. Limits are investigated and shown to yield the Black-Scholes formula in the case of continuous sample paths for a wide variety of complete market structures. In the discontinuous case a Merton-type formula is shown to result, provided jump probabilities are replaced by their corresponding Arrow-Debreu prices.
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作者：Dumas, Bernard
作者单位：University of Pennsylvania; National Bureau of Economic Research
摘要：When several investors with different risk aversions trade competitively in a capital market, the allocation of wealth fluctuates randomly among them and acts as a state variable against which each market participant will want to hedge. This hedging motive complicates the investors' portfolio choice and the equilibrium in the capital market. This article features two investors, with the same degree of impatience, one of them being logarithmic and the other having an isoelastic utility function...
