A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
The paper refutes standard asset pricing models and introduces new theories.
This paper studies the concept of instantaneous arbitrage in continuous time and its relation to the instantaneous CAPM. Absence of instantaneous arbitrage is equivalent to the existence of a trading strategy which satisfies the CAPM beta pricing relation in place of the market. Thus the difference between the arbitrag…
The Capital Asset Pricing Model (CAPM) is one of the original models in explaining risk-return relationship in the financial market. However, when applying the CAPM into reality, it demonstrates a lot of shortcomings. While improving the performance of the model, many studies, on one hand, have attempted to apply diffe…
Solves equity premium puzzle with time-varying variables.
The CAPM's market returns are endogenously determined, affecting all assets' expected returns.
In this paper we test computationally the performance of CAPM in an evolutionary setting. In particular we study the stability of wealth distribution in a financial market where some traders invest as prescribed by CAPM and others behave according to different portfolio rules. Our study is motivated by recent analytica…
We consider a Black-Scholes market in which a number of stocks and an index are traded. The simplified Capital Asset Pricing Model is the conjunction of the usual Capital Asset Pricing Model, or CAPM, and the statement that the appreciation rate of the index is equal to its squared volatility plus the interest rate. (T…
The principal portfolios of the standard Capital Asset Pricing Model (CAPM) are analyzed and found to have remarkable hedging and leveraging properties. Principal portfolios implement a recasting of any correlated asset set of N risky securities into an equivalent but uncorrelated set when short sales are allowed. Whil…
We add size factor to CAPM and normalize residuals by Volatility Index.
CAPM interpretation is flawed; beta reflects proxy for underlying driver, not causal transmission.
The paper has 2 main goals: 1. We propose a variant of the CAPM based on coherent risk. 2. In addition to the real-world measure and the risk-neutral measure, we propose the third one: the extreme measure. The introduction of this measure provides a powerful tool for investigating the relation between the first two mea…
Traders underestimated risk-free rates, leading to poor investments.
Machine learning models outperform traditional CAPM in forecasting financial asset prices.
This paper examines the validity of the Capital Asset Pricing Model (CAPM) on the Ugandan stock market using monthly stock returns from 10 of the 11 companies listed on the Uganda Stock Exchange (USE), for the period 1st March 2007 to 10th November 2009. Due to the absence of readily available Uganda Stock Exchange(USE…
Paper tackles P vs NP problem in portfolio optimization with cardinality constraints and Black-Scholes derivatives.
The paper examines the Chinese market reaction to the ADR issue by comparing returns and their stochastic variances of the Chinese firms cross-listed in the U.S. stock market. First, It was implemented capital asset pricing model (CAPM) to determine expected returns A and N shares. The CAPM provided with a methodology …
Study finds it hard to establish common factor pricing in corporate bonds.
We find that the CAPM fails to explain the small firm effect even if its non-parametric form is used which allows time-varying risk and non-linearity in the pricing function. Furthermore, the linearity of the CAPM can be rejected, thus the widely used risk and performance measures, the beta and the alpha, are biased an…
Corporate bond factor research is flawed due to measurement errors and ex-post filtering.
A new perspective on portfolio selection using realized returns.
Hedge Funds are considered as one of the portfolio management sectors which shows a fastest growing for the past decade. An optimal Hedge Fund management requires an appropriate risk metrics. The classic CAPM theory and its Ratio Sharpe fail to capture some crucial aspects due to the strong non-Gaussian character of He…
Empirical study of CAPM and Fama-French model in Chinese A-share market.
We present conditions under which positive alpha exists in the realm of active portfolio management- in contrast to the controversial result in Jarrow (2010, pg. 20) which implicates delegated portfolio management by surmising that positive alphas are illusionary. Specifically, we show that the critical assumption used…
Study optimal retirement time and consumption with habitual persistence.
This paper gives yet another definition of game-theoretic probability in the context of continuous-time idealized financial markets. Without making any probabilistic assumptions (but assuming positive and continuous price paths), we obtain a simple expression for the equity premium and derive a version of the capital a…
Proposes a new consumption strategy based on martingale principles.
This paper analyzes popular time-nonseparable utility functions that describe "habit formation" consumer preferences comparing current consumption with the time averaged past consumption of the same individual and "catching up with the Joneses" (CuJ) models comparing individual consumption with a cross-sectional averag…
The paper analyzes how ESG investors can prioritize green stocks without sacrificing overall wealth.
This article investigates the evolution of the Mexican stock market integration into the world market. First, we estimate the time-varying Mexican degree of market integration using an international conditional version of the CAPM with segmentation effects. Second, we study the structural breaks in this series. Finally…
Study optimal consumption for loss-averse agents considering past spending peaks.
Study many-player investment-consumption games with power FPPs, finding market-risk preference affects consumption.
Solves pair trading problem using consumption-investment theory.
Investor optimizes investment and consumption under uncertain market conditions with constraints.
The paper examines smoothness of value function in consumption-investment models with borrowing constraints.
Without probability theory, we define classes of supermartingales, martingales, and semimartingales in idealized financial markets with continuous price paths. This allows us to establish probability-free versions of a number of standard results in martingale theory, including the Dubins-Schwarz theorem, the Girsanov t…
Paper uses CVAE to simulate tariff impacts on electricity consumption.
Paper examines power consumption in neural networks using various activation functions.
A continuous-time consumption-investment model with constraint is considered for a small investor whose decisions are the consumption rate and the allocation of wealth to a risk-free and a risky asset with logarithmic Brownian motion fluctuations. The consumption rate is subject to an upper bound constraint which linea…
The paper analyzes optimal consumption with past spending maximum as a reference.
The paper solves a consumption-investment problem with state-dependent lower bounds.
Intertemporal model for cost-efficient consumption using copulas.
Study optimal consumption and investment strategies with constraints in a market with random coefficients.
In a recent work (Chattopadhyay, A. K. et al, Europhys. Lett. {\bf 91}, 58003, 2010) based on food consumption statistics, we showed how a stochastic agent based model could represent the time variation of the income distribution statistics in a developing economy, thereby defining an alternative \enquote{poverty index…
Investment herding can reduce household consumption, a phenomenon called crowding-out effect.
Study optimal consumption with relaxed benchmarks and drawdown constraints.
In this article, we investigate whether exchange rate risk is priced. We use a multivariate GARCH-in-Mean specification and test alternative conditional international CAPM versions. Our results support strongly the international asset-pricing model that includes exchange rate risk for both developed and emerging stock …
Electricity consumption has increased exponentially during the past few decades. This increase is heavily burdening the electricity distributors. Therefore, predicting the future demand for electricity consumption will provide an upper hand to the electricity distributor. Predicting electricity consumption requires man…
The steel industry has great impacts on the economy and the environment of both developed and underdeveloped countries. The importance of this industry and these impacts have led many researchers to investigate the relationship between a country's steel consumption and its economic activity resulting in the so-called i…