A Reduced Rank Regression Approach to Tests of Asset Pricing

Cross Sectional Asset Pricing Tests

A Nonparametric Approach to Derivative Asset Pricing

In this research we examine a new method for pricing European call options based on a nonparametric estimate of the probability density of the underlying asset’s returns. Such an approach allows the use of asymmetric and leptokurtic distributions. We estimate the density using a kernel estimation technique applied to random samples drawn from three particular underlying distributions: the Gauss...

A behavioral approach to asset pricing pdf

The online version of A Behavioral Approach to Asset Pricing by Hersh Shefrin. Part III: Developing Behavioral Asset Pricing Models.A unified behavioral approach to asset pricing requires a general definition of sentiment. Objective pdf and the individual investors subjective pdf. ÂœA mathematical-economist-turned-behavioral-economist, Hersh Shefrin challenges and delights the reader by applyin...

a benchmarking approach to optimal asset allocation for insurers and pension funds

uncertainty in the financial market will be driven by underlying brownian motions, while the assets are assumed to be general stochastic processes adapted to the filtration of the brownian motions. the goal of this study is to calculate the accumulated wealth in order to optimize the expected terminal value using a suitable utility function. this thesis introduced the lim-wong’s benchmark fun...

Simple Tests for Reduced Rank in Multivariate Regression

The present work proposes tests for reduced rank in multivariate regression coefficient matrices, under rather general conditions. A heuristic approach is to first estimate the regressions via standard methods, then compare the coefficient matrix rows (or columns) to assess their redundancy. A formal version of this approach utilizes the distance between an unrestricted coefficient matrix estim...