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华中科技大学投资学课件Chapter8 The Capital Asset Pricing Model
华中科技大学 投资学 课件 Chapter8 The Capital Asset Pricing Model
2015/5/19
华中科技大学投资学课件Chapter8 The Capital Asset Pricing Model。
华中科技大学投资学课件Chapter6 Capital Allocation Between the Risky Asset and the Risk-Free Asset
华中科技大学 投资学 课件 Chapter6 Capital Allocation Between the Risky Asset and the Risk-Free Asset
2015/5/19
华中科技大学投资学课件Chapter6 Capital Allocation Between the Risky Asset and the Risk-Free Asset。
Constrained Mixture Models for Asset Returns Modelling
return distributions trading strategies Maximisation
2011/3/31
The estimation of asset return distributions is crucial for determining optimal trading strategies. In this paper we describe the constrained mixture model, based on a mixture of Gamma and Gaussian di...
Housing risk and return: Evidence from a housing asset-pricing model
asset pricing house price returns risk factors
2011/3/31
This paper investigates the risk-return relationship in determination of housing asset pricing. In so doing, the paper evaluates behavioral hypotheses advanced by Case and Shiller (1988, 2002, 2009) i...
Risk-Sensitive Asset Management in a Jump-Diffusion Factor Model
Asset management risk-sensitive stochastic control jump diffusion processes
2010/10/18
In this article we extend earlier work on the jump-diffusion risk-sensitive asset management problem by allowing for jumps in both the factor process and the asset prices as well as stochastic volatil...