Matches in SemOpenAlex for { <https://semopenalex.org/work/W3144458159> ?p ?o ?g. }
Showing items 1 to 61 of
61
with 100 items per page.
- W3144458159 abstract "In this paper, we offer an alternative proof of the Capital Asset Pricing Model when the returns follow a multivariate elliptical distribution. Empirical studies continue to demonstrate the inappropriateness of the normality assumption in modelling asset returns. The class of elliptical distributions,which includes the more familiar Normal distribution, provides flexibility in modelling the thickness of tails associated with the possibility that asset returns take extreme values with non-negligible probabilities. Within this framework, we prove a new version of Stein's lemma for elliptical distribution and use this result to derive the CAPM when returns are elliptical. We also derive a closed form solution of call option prices when the underlying is elliptically distributed. We use the probability distortion function approach based on the dual utility theory of choice under uncertainty." @default.
- W3144458159 created "2021-04-13" @default.
- W3144458159 creator A5001221706 @default.
- W3144458159 creator A5046220303 @default.
- W3144458159 date "2004-01-01" @default.
- W3144458159 modified "2023-09-26" @default.
- W3144458159 title "CAPM and Option Pricing with Elliptical Disbributions" @default.
- W3144458159 hasPublicationYear "2004" @default.
- W3144458159 type Work @default.
- W3144458159 sameAs 3144458159 @default.
- W3144458159 citedByCount "0" @default.
- W3144458159 crossrefType "posted-content" @default.
- W3144458159 hasAuthorship W3144458159A5001221706 @default.
- W3144458159 hasAuthorship W3144458159A5046220303 @default.
- W3144458159 hasConcept C105795698 @default.
- W3144458159 hasConcept C106159729 @default.
- W3144458159 hasConcept C130545031 @default.
- W3144458159 hasConcept C149782125 @default.
- W3144458159 hasConcept C161584116 @default.
- W3144458159 hasConcept C162324750 @default.
- W3144458159 hasConcept C177384507 @default.
- W3144458159 hasConcept C181236170 @default.
- W3144458159 hasConcept C194483076 @default.
- W3144458159 hasConcept C33923547 @default.
- W3144458159 hasConceptScore W3144458159C105795698 @default.
- W3144458159 hasConceptScore W3144458159C106159729 @default.
- W3144458159 hasConceptScore W3144458159C130545031 @default.
- W3144458159 hasConceptScore W3144458159C149782125 @default.
- W3144458159 hasConceptScore W3144458159C161584116 @default.
- W3144458159 hasConceptScore W3144458159C162324750 @default.
- W3144458159 hasConceptScore W3144458159C177384507 @default.
- W3144458159 hasConceptScore W3144458159C181236170 @default.
- W3144458159 hasConceptScore W3144458159C194483076 @default.
- W3144458159 hasConceptScore W3144458159C33923547 @default.
- W3144458159 hasLocation W31444581591 @default.
- W3144458159 hasOpenAccess W3144458159 @default.
- W3144458159 hasPrimaryLocation W31444581591 @default.
- W3144458159 hasRelatedWork W1487790795 @default.
- W3144458159 hasRelatedWork W1556472511 @default.
- W3144458159 hasRelatedWork W1559921737 @default.
- W3144458159 hasRelatedWork W1606651814 @default.
- W3144458159 hasRelatedWork W1976745016 @default.
- W3144458159 hasRelatedWork W1979641910 @default.
- W3144458159 hasRelatedWork W2074289229 @default.
- W3144458159 hasRelatedWork W2107935138 @default.
- W3144458159 hasRelatedWork W2149646024 @default.
- W3144458159 hasRelatedWork W2252830426 @default.
- W3144458159 hasRelatedWork W2809872994 @default.
- W3144458159 hasRelatedWork W2914919662 @default.
- W3144458159 hasRelatedWork W3041454691 @default.
- W3144458159 hasRelatedWork W3122489561 @default.
- W3144458159 hasRelatedWork W3123253747 @default.
- W3144458159 hasRelatedWork W3134820922 @default.
- W3144458159 hasRelatedWork W3150580164 @default.
- W3144458159 hasRelatedWork W75211045 @default.
- W3144458159 hasRelatedWork W2186330498 @default.
- W3144458159 hasRelatedWork W2303510639 @default.
- W3144458159 isParatext "false" @default.
- W3144458159 isRetracted "false" @default.
- W3144458159 magId "3144458159" @default.
- W3144458159 workType "article" @default.