Multifactor Risk Models and Heterotic CAPM

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Systematic and multifactor risk models revisited

Systematic and multifactor risk models are revisited via methods which were already successfully developed in signal processing and in automatic control. The results, which bypass the usual criticisms on those risk modeling, are illustrated by several successful computer experiments. Michel Fliess LIX (CNRS, UMR 7161), École polytechnique, 91128 Palaiseau, France. e-mail: Michel.Fliess@polytech...

متن کامل

Risk and return: CAPM and CCAPM

Can consumption growth risk (or consumption beta) serve a better measure of risk than market beta? This paper answers this question by testing and comparing the performance of the traditional Capital Asset Pricing Model (CAPM) and consumption-based CAPM (CCAPM) across seven financial market sub-sectors in the emerging Taiwan stock market. The empirical performance of the CAPM is encouraging. Th...

متن کامل

Local Heterotic Torsional Models

We present a class of smooth supersymmetric heterotic solutions with a non-compact Eguchi-Hanson space. The non-compact geometry is embedded as the base of a six-dimensional non-Kähler manifold with a non-trivial torus fiber. We solve the non-linear anomaly equation in this background exactly. We also define a new charge that detects the non-Kählerity of our solutions.

متن کامل

Gauged Heterotic Sigma-models

The gauging of isometries in general sigma-models which include fermionic terms which represent the interaction of strings with background Yang-Mills fields is considered. Gauging is possible only if certain obstructions are absent. The quantum gauge anomaly is discussed, and the (1,0) supersymmetric generalisation of the gauged action given. Non-linear sigma-models are important two-dimensiona...

متن کامل

Comparative Study of Capital Assets Pricing Models (CAPM) with Extrapolating Capital Assets Pricing Models (X-CAPM) in Tehran Exchange Market

The main objective of this article is to present a comparative study of capital assets pricing models (CAPM) with extrapolating capital assets pricing models (X-CAPM) of companies admitted in Tehran Exchange Market which is accomplished for the first time by investigators of this research in Iran. Accordingly, the statistical population under study of this research includes all companies admitt...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: SSRN Electronic Journal

سال: 2016

ISSN: 1556-5068

DOI: 10.2139/ssrn.2722093