FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2171137708> ?p ?o ?g. }

• W2171137708 endingPage "397" @default.
• W2171137708 startingPage "367" @default.
• W2171137708 abstract "A large literature has arisen which exploits a particular portfolio on the mean-variance frontier, determining a minimum variance bound on the set of stochastic discount factors (state price to probability ratios). This paper proposes a new variational characterization of the closely related set of state price densities, based on minimization of the Kullback-Leibler Information Criterion. In contrast to the variance bound, the resulting information bound automatically satisfies an important positivity constraint. Furthermore, the information bound is determined by a portfolio which maximizes expected CARA utility. Several interpretations of the information bound are given, and empirical uses of it are illustrated." @default.
• W2171137708 created "2016-06-24" @default.
• W2171137708 creator A5036110021 @default.
• W2171137708 date "1995-08-01" @default.
• W2171137708 modified "2023-10-11" @default.
• W2171137708 title "A Bayesian approach to diagnosis of asset pricing models" @default.
• W2171137708 cites W1493008238 @default.
• W2171137708 cites W1966362549 @default.
• W2171137708 cites W1967897997 @default.
• W2171137708 cites W1968038178 @default.
• W2171137708 cites W1991406997 @default.
• W2171137708 cites W2003804951 @default.
• W2171137708 cites W2030689745 @default.
• W2171137708 cites W2042236829 @default.
• W2171137708 cites W2047769094 @default.
• W2171137708 cites W2052958516 @default.
• W2171137708 cites W2066641325 @default.
• W2171137708 cites W2072374693 @default.
• W2171137708 cites W2080085082 @default.
• W2171137708 cites W2119143694 @default.
• W2171137708 cites W2155969596 @default.
• W2171137708 cites W2160709761 @default.
• W2171137708 cites W2570834760 @default.
• W2171137708 cites W3122056477 @default.
• W2171137708 cites W3124704119 @default.
• W2171137708 cites W4246784033 @default.
• W2171137708 doi "https://doi.org/10.1016/0304-4076(94)01656-k" @default.
• W2171137708 hasPublicationYear "1995" @default.
• W2171137708 type Work @default.
• W2171137708 sameAs 2171137708 @default.
• W2171137708 citedByCount "93" @default.
• W2171137708 countsByYear W21711377082012 @default.
• W2171137708 countsByYear W21711377082013 @default.
• W2171137708 countsByYear W21711377082014 @default.
• W2171137708 countsByYear W21711377082015 @default.
• W2171137708 countsByYear W21711377082016 @default.
• W2171137708 countsByYear W21711377082017 @default.
• W2171137708 countsByYear W21711377082018 @default.
• W2171137708 countsByYear W21711377082020 @default.
• W2171137708 countsByYear W21711377082021 @default.
• W2171137708 countsByYear W21711377082022 @default.
• W2171137708 countsByYear W21711377082023 @default.
• W2171137708 crossrefType "journal-article" @default.
• W2171137708 hasAuthorship W2171137708A5036110021 @default.
• W2171137708 hasConcept C10138342 @default.
• W2171137708 hasConcept C105795698 @default.
• W2171137708 hasConcept C107673813 @default.
• W2171137708 hasConcept C121955636 @default.
• W2171137708 hasConcept C126255220 @default.
• W2171137708 hasConcept C134306372 @default.
• W2171137708 hasConcept C149782125 @default.
• W2171137708 hasConcept C154945302 @default.
• W2171137708 hasConcept C162324750 @default.
• W2171137708 hasConcept C171752962 @default.
• W2171137708 hasConcept C177264268 @default.
• W2171137708 hasConcept C196083921 @default.
• W2171137708 hasConcept C199360897 @default.
• W2171137708 hasConcept C202655437 @default.
• W2171137708 hasConcept C2524010 @default.
• W2171137708 hasConcept C2776036281 @default.
• W2171137708 hasConcept C2776502983 @default.
• W2171137708 hasConcept C2780821815 @default.
• W2171137708 hasConcept C33923547 @default.
• W2171137708 hasConcept C41008148 @default.
• W2171137708 hasConcept C51485801 @default.
• W2171137708 hasConcept C77553402 @default.
• W2171137708 hasConceptScore W2171137708C10138342 @default.
• W2171137708 hasConceptScore W2171137708C105795698 @default.
• W2171137708 hasConceptScore W2171137708C107673813 @default.
• W2171137708 hasConceptScore W2171137708C121955636 @default.
• W2171137708 hasConceptScore W2171137708C126255220 @default.
• W2171137708 hasConceptScore W2171137708C134306372 @default.
• W2171137708 hasConceptScore W2171137708C149782125 @default.
• W2171137708 hasConceptScore W2171137708C154945302 @default.
• W2171137708 hasConceptScore W2171137708C162324750 @default.
• W2171137708 hasConceptScore W2171137708C171752962 @default.
• W2171137708 hasConceptScore W2171137708C177264268 @default.
• W2171137708 hasConceptScore W2171137708C196083921 @default.
• W2171137708 hasConceptScore W2171137708C199360897 @default.
• W2171137708 hasConceptScore W2171137708C202655437 @default.
• W2171137708 hasConceptScore W2171137708C2524010 @default.
• W2171137708 hasConceptScore W2171137708C2776036281 @default.
• W2171137708 hasConceptScore W2171137708C2776502983 @default.
• W2171137708 hasConceptScore W2171137708C2780821815 @default.
• W2171137708 hasConceptScore W2171137708C33923547 @default.
• W2171137708 hasConceptScore W2171137708C41008148 @default.
• W2171137708 hasConceptScore W2171137708C51485801 @default.
• W2171137708 hasConceptScore W2171137708C77553402 @default.
• W2171137708 hasIssue "2" @default.
• W2171137708 hasLocation W21711377081 @default.
• W2171137708 hasOpenAccess W2171137708 @default.
• W2171137708 hasPrimaryLocation W21711377081 @default.
• W2171137708 hasRelatedWork W1183681342 @default.
• W2171137708 hasRelatedWork W2355340394 @default.
• W2171137708 hasRelatedWork W2365845233 @default.
• W2171137708 hasRelatedWork W2378176996 @default.
• W2171137708 hasRelatedWork W2388859841 @default.
• W2171137708 hasRelatedWork W2489358856 @default.

• next