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A subjective assessment of approximate probabilities with a portfolio application

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  • Smimou, K.
  • Bector, C.R.
  • Jacoby, G.
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    Article provided by Elsevier in its journal Research in International Business and Finance.

    Volume (Year): 21 (2007)
    Issue (Month): 2 (June)
    Pages: 134-160

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    Handle: RePEc:eee:riibaf:v:21:y:2007:i:2:p:134-160

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    7. Easley, David, et al, 1996. " Liquidity, Information, and Infrequently Traded Stocks," Journal of Finance, American Finance Association, vol. 51(4), pages 1405-36, September.
    8. Robertson, John C & Tallman, Ellis W & Whiteman, Charles H, 2005. "Forecasting Using Relative Entropy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(3), pages 383-401, June.
    9. David Schmeidler, 1989. "Subjective Probability and Expected Utility without Additivity," Levine's Working Paper Archive 7662, David K. Levine.
    10. Huffman, Gregory W, 1992. " Information, Asset Prices, and the Volume of Trade," Journal of Finance, American Finance Association, vol. 47(4), pages 1575-90, September.
    11. Muzzioli, Silvia & Torricelli, Costanza, 2004. "A multiperiod binomial model for pricing options in a vague world," Journal of Economic Dynamics and Control, Elsevier, vol. 28(5), pages 861-887, February.
    12. Best, Michael J. & Grauer, Robert R., 1992. "The analytics of sensitivity analysis for mean-variance portfolio problems," International Review of Financial Analysis, Elsevier, vol. 1(1), pages 17-37.
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    14. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
    15. Bartholdy, Jan & Peare, Paula, 2002. "Unbiased Estimation of Expected Return Using CAPM," Finance Working Papers 02-11, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    16. Tahir Choulli & Christophe Stricker, 2005. "Minimal Entropy-Hellinger Martingale Measure In Incomplete Markets," Mathematical Finance, Wiley Blackwell, vol. 15(3), pages 465-490.
    17. Jianshe Ou, 2005. "Theory of portfolio and risk based on incremental entropy," Journal of Risk Finance, Emerald Group Publishing, vol. 6(1), pages 31-39, January.
    18. Winkler, Robert L & Barry, Christopher B, 1975. "A Bayesian Model for Portfolio Selection and Revision," Journal of Finance, American Finance Association, vol. 30(1), pages 179-92, March.
    19. Jackwerth, Jens Carsten & Rubinstein, Mark, 1996. " Recovering Probability Distributions from Option Prices," Journal of Finance, American Finance Association, vol. 51(5), pages 1611-32, December.
    20. Samuelson, William & Rosenthal, Leonard, 1986. " Price Movements as Indicators of Tender Offer Success," Journal of Finance, American Finance Association, vol. 41(2), pages 481-99, June.
    21. Hakansson, Nils H., 1971. "Capital Growth and the Mean-Variance Approach to Portfolio Selection," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 6(01), pages 517-557, January.
    22. Eakins, Stanley G. & Stansell, Stanley R., 2003. "Can value-based stock selection criteria yield superior risk-adjusted returns: an application of neural networks," International Review of Financial Analysis, Elsevier, vol. 12(1), pages 83-97.
    23. Robinson, Chris, 1996. "Can we reconcile finance with nature?," International Review of Financial Analysis, Elsevier, vol. 5(3), pages 185-195.
    24. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
    25. Nawrocki, David, 1984. "Entropy, Bifurcation and Dynamic Market Disequilibrium," The Financial Review, Eastern Finance Association, vol. 19(2), pages 266-84, May.
    26. Buchen, Peter W. & Kelly, Michael, 1996. "The Maximum Entropy Distribution of an Asset Inferred from Option Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(01), pages 143-159, March.
    27. Bartholdy, Jan & Peare, Paula, 2005. "Estimation of expected return: CAPM vs. Fama and French," International Review of Financial Analysis, Elsevier, vol. 14(4), pages 407-427.
    28. Fred Benth & Thilo Meyer-Brandis, 2005. "The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps," Finance and Stochastics, Springer, vol. 9(4), pages 563-575, October.
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