Conic Asset Pricing and the Costs of Price Fluctuations

Author:

Madan Dilip B.,Schoutens Wim

Publisher

Elsevier BV

Reference32 articles.

1. Asset Pricing and Portfolio Choice Theory

2. Change of Time and Change of Measure

3. Bid-Ask Dynamic Pricing in Financial Markets with Transactions Costs and Liquidity Risk;J Bion-Nadal;Journal of Mathematical Economics,2009

4. Estimating Expected Return

5. Alternative factor speci?cations, security characteristics, and the cross-section of expected stock returns;M J Brennan;Journal of Financial Economics,1998

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