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Revised capital assets pricing model: an improved model for forecasting risk and return
Revised Capital Assets Pricing Model Risk Return
2010/10/18
This study's aim is to examine a new version of capital assets pricing model which is
called Revised Capital Assets Pricing Model (R-CAPM) in Tehran Stock Exchange (TSE).
According to Markowitz theo...
Reflected backward stochastic differential equations and a class of non linear dynamic pricing rule
stochastic differential equations non linear dynamic pricing rule
2010/12/13
In that paper, we provide a new characterization of the solutions of specific reflected backward stochastic differential equations (or RBSDEs) whose driver $g$ is convex and has quadratic growth in i...