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The book introduces a financial market model that differentiates between immature and efficient diversification, linking them through a valuation formula that captures essential risk in asset returns. It integrates principles from arbitrage pricing theory and the capital-asset-pricing model, demonstrating their equivalence to the no-arbitrage principle. The model utilizes a method akin to the Karhunen-Loève expansion to select factors, highlighting optimality while addressing challenges in applying the law of large numbers to continuous random variables.
Zakup książki
Risk Return Analysis of Selected BSE AUTO Company, Varsha Virani
- Język
- Rok wydania
- 2020
- Oprawa
- (miękka)
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- Tytuł
- Risk Return Analysis of Selected BSE AUTO Company
- Język
- angielski
- Autorzy
- Varsha Virani
- Rok wydania
- 2020
- Oprawa
- miękka
- Liczba stron
- 64
- ISBN13
- 9786202552806
- Seria
- Tagi
- Biznes, Tematy prawne
- Opis
- The book introduces a financial market model that differentiates between immature and efficient diversification, linking them through a valuation formula that captures essential risk in asset returns. It integrates principles from arbitrage pricing theory and the capital-asset-pricing model, demonstrating their equivalence to the no-arbitrage principle. The model utilizes a method akin to the Karhunen-Loève expansion to select factors, highlighting optimality while addressing challenges in applying the law of large numbers to continuous random variables.