Arbeitspapier
Inherent Efficiency, Security Markets, and the Pricing of Investment Strategies
This paper applies the dichotomous theory of choice by Zou (2000a) tothe analysis of investmentstrategies and security markets. Issues concerning individualoptimality, (approximate) arbitrage,capital market equilibrium, and Pareto efficiency are studied undervarious market conditions. Among the main results area unique dichotomous pricing model,unifying and generalizing theexisting models, that can be used for pricing any financialsecurities under both complete andincomplete markets,conditions for individual optimality thathold for general utilities(including expected utility as a special case),the existence and uniqueness of capital marketequilibrium, andimplications of capital market equilibrium,including a separation theorem,inherent efficiency of the market portfolio, Pareto efficiency, andseveral testable hypotheses thatpredict securities' equilibrium up-market potentials and down-marketpotentials, respectively.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 00-108/2
- Klassifikation
-
Wirtschaft
Value Theory
Criteria for Decision-Making under Risk and Uncertainty
General Financial Markets: General (includes Measurement and Data)
Portfolio Choice; Investment Decisions
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
Perception of reward and risk
Reward-risk utility
Inherent efficiency
Quasi-complete market
Dichotomous pricing model
Approximate arbitrage
Up-market and Down-market potentials
Portfolio-Management
Rentabilität
Risiko
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Zou, Liang
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2000
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Zou, Liang
- Tinbergen Institute
Entstanden
- 2000
Ähnliche Objekte (12)
Monopoly Pricing Strategies
Quantifying the model risk inherent in the calibration and recalibration of option pricing models
Vowel inherent spectral change
Inherent focus on wh-phrases
The Inherent Limits of Law
The pricing efficiency of exchange-traded funds
Derivative security pricing : techniques, methods and applications
Internet retailing : pricing, product and information strategies
Mobile cellular communication : pricing strategies and competition
Optimal pricing strategies : how nonlinear programming enables optimal pricing in digital environment
The inherent benefit of monetary unions
The myth of inherent female pacifism
Monopoly Pricing Strategies
Quantifying the model risk inherent in the calibration and recalibration of option pricing models
Vowel inherent spectral change
Inherent focus on wh-phrases
The Inherent Limits of Law
The pricing efficiency of exchange-traded funds
Derivative security pricing : techniques, methods and applications
Internet retailing : pricing, product and information strategies
Mobile cellular communication : pricing strategies and competition
Optimal pricing strategies : how nonlinear programming enables optimal pricing in digital environment
The inherent benefit of monetary unions
The myth of inherent female pacifism
Monopoly Pricing Strategies
Quantifying the model risk inherent in the calibration and recalibration of option pricing models
Vowel inherent spectral change
Inherent focus on wh-phrases
The Inherent Limits of Law
The pricing efficiency of exchange-traded funds
Derivative security pricing : techniques, methods and applications
Internet retailing : pricing, product and information strategies
Mobile cellular communication : pricing strategies and competition
Optimal pricing strategies : how nonlinear programming enables optimal pricing in digital environment
The inherent benefit of monetary unions