On the sensitivity of the Black capital asset pricing model to the market portfolio.
Winston S. BuckleyOneil HarrisSandun PereraPublished in: Risk Decis. Anal. (2013)
Keyphrases
- pricing model
- asset allocation
- convertible bonds
- financial markets
- stock price
- portfolio management
- market data
- pricing mechanism
- optimal pricing
- real option
- dynamic pricing
- transaction costs
- portfolio selection
- portfolio theory
- optimal portfolio
- bi level
- portfolio optimization
- stock market
- investment strategies
- stock exchange
- decision making
- financial crisis
- financial data
- supply chain
- option pricing
- empirical analysis
- stochastic model
- black scholes
- non stationary
- neural network