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capm.bib
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@article{BlaSch1973,
title={The Pricing of Options and Corporate Liabilities},
author={Black, Fischer and Scholes, Myron},
journal={Journal of Political Economy},
volume={81},
number={3},
pages={637--654},
year={1973},
publisher={University of Chicago Press},
url={http://www.jstor.org/stable/1831029}
}
@article{Mer1973,
title={Theory of Rational Option Pricing},
author={Merton, Robert C.},
journal={Bell Journal of Economics and Management Science},
volume={4},
number={1},
pages={141--183},
year={1973},
publisher={The RAND Corporation},
url={https://www.jstor.org/stable/3003143}
}
@article{Mar1952,
title={Portfolio selection},
author={Markowitz, Harry},
journal={The Journal of Finance},
volume={7},
number={1},
pages={77--91},
year={1952},
publisher={Wiley Online Library}
}
@article{Roy1952,
title = {Safety {First} and the {Holding} of {Assets}},
volume = {20},
issn = {0012-9682},
url = {https://www.jstor.org/stable/1907413},
number = {3},
urldate = {2024-01-21},
journal = {Econometrica},
author = {Roy, A. D.},
year = {1952},
note = {Publisher: [Wiley, Econometric Society]},
pages = {431--449},
}
@article{Tre1961,
title = {Market Value, Time, and Risk},
issn = {1556-5068},
url = {http://www.ssrn.com/abstract=2600356},
journaltitle = {{SSRN} Electronic Journal},
shortjournal = {{SSRN} Journal},
author = {Treynor, Jack L.},
urldate = {2024-01-09},
date = {1961},
langid = {english},
}
@article{Sha1964,
title = {{Capital} {Asset} {Prices}: {A} {Theory} {of} {Market} {Equilibrium} {under} {conditions} {of} {risk}},
volume = {19},
issn = {00221082},
shorttitle = {{Capital} {Asset} {Prices}},
language = {en},
number = {3},
urldate = {2020-04-06},
journal = {The Journal of Finance},
author = {Sharpe, William F.},
month = sep,
year = {1964},
note = {tex.ids: sharpeCAPITALASSETPRICES1964a, sharpeCAPITALASSETPRICES1964b},
pages = {425--442},
}
@article{Mer1972,
title = {An {Analytic} {Derivation} of the {Efficient} {Portfolio} {Frontier}},
volume = {7},
issn = {00221090},
url = {https://www.jstor.org/stable/2329621?origin=crossref},
language = {en},
number = {4},
urldate = {2020-07-22},
journal = {The Journal of Financial and Quantitative Analysis},
author = {Merton, Robert C.},
month = sep,
year = {1972},
pages = {1851},
}
@article{Bla1972,
title = {Capital {Market} {Equilibrium} with {Restricted} {Borrowing}},
volume = {45},
url = {http://www.jstor.org/stable/2351499},
language = {en},
number = {3},
journal = {The Journal of Business},
author = {Black, Fischer},
year = {1972},
pages = {444--455},
}
@book{Kol1956,
title={Foundations of the Theory of Probability},
author={Kolmogorov, Andrey},
year={1956},
publisher={Chelsea Publishing Company},
address={New York, US}
}
@article{Lin1965,
title = {The {Valuation} of {Risk} {Assets} and the {Selection} of {Risky} {Investments} in {Stock} {Portfolios} and {Capital} {Budgets}},
volume = {47},
issn = {0034-6535},
url = {https://www.jstor.org/stable/1924119},
number = {1},
urldate = {2024-02-06},
journal = {The Review of Economics and Statistics},
author = {Lintner, John},
year = {1965},
note = {Publisher: The MIT Press},
pages = {13--37},
}
@book{DunSch1958,
title={Linear Operators I},
author={Dunford, Nelson and Schwartz, Jacob T},
year={1958},
publisher={Interscience Publishers}
}
@article{Ros1978,
title = {A {Simple} {Approach} to the {Valuation} of {Risky} {Streams}},
volume = {51},
issn = {0021-9398},
url = {https://www.jstor.org/stable/2352277},
abstract = {In an asset market where there are no unexploited arbitrage opportunities, there will exist a linear valuation operator that can unambiguously price return streams with perfect market substitutes or bound values for streams bounded by market combinations. This is possible, without further assumptions, only if the project returns can be duplicated (or bounded) by a deterministic intertemporal program of purchasing a portfolio of marketed assets. These results are proven and used to simplify and unify a number of topics in financial economics, including project valuation, Modigliani-Miller theory, forward pricing, the closed-end mutual fund paradox, and efficient market theories.},
number = {3},
urldate = {2022-07-07},
journal = {The Journal of Business},
author = {Ross, Stephen A.},
year = {1978},
note = {Publisher: University of Chicago Press},
pages = {453--475},
}