Πλοήγηση Τμήμα Λογιστικής και Χρηματοοικονομικής / Department of Accounting and Finance ανά Θέμα "Asset pricing"
Αποτελέσματα 1-2 από 2
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Working Paper Open Access
A Political Capital Asset Pricing Model
(The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA, 2019-03)We construct a bivariate factor of political stability and economic policy confidence, and show that it commands a significant premium of up to 15% per annum, in the global, developed, and emerging markets, robust to ICAPM, ...
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Working Paper Open Access
Pricing and Hedging GDP-Linked Bonds in Incomplete Markets
(The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA, 2017-09)We model the super-replication of payoffs linked to a country's GDP as a stochastic linear program on a discrete time and state-space scenario tree to price GDP-linked bonds. As a byproduct of the model, we obtain a hedging ...