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Multidimensional Security Pricing


  • Ingersoll, Jonathan


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  • Ingersoll, Jonathan, 1975. "Multidimensional Security Pricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 10(05), pages 785-798, December.
  • Handle: RePEc:cup:jfinqa:v:10:y:1975:i:05:p:785-798_01

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    References listed on IDEAS

    1. Stefania D’Amico & William English & David López‐Salido & Edward Nelson, 2012. "The Federal Reserve's Large‐scale Asset Purchase Programmes: Rationale and Effects," Economic Journal, Royal Economic Society, vol. 122(564), pages 415-446, November.
    2. Christoph Trebesch & Jeromin Zettelmeyer, 2014. "ECB Interventions in Distressed Sovereign Debt Markets: The Case of Greek Bonds," CESifo Working Paper Series 4731, CESifo Group Munich.
    3. Diamond, Peter A, 1982. "Aggregate Demand Management in Search Equilibrium," Journal of Political Economy, University of Chicago Press, vol. 90(5), pages 881-894, October.
    4. Schwaab, Bernd & Eser, Fabian, 2013. "Assessing asset purchases within the ECB’s securities markets programme," Working Paper Series 1587, European Central Bank.
    5. Fontana, Alessandro & Scheicher, Martin, 2016. "An analysis of euro area sovereign CDS and their relation with government bonds," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 126-140.
    6. Konstantin Milbradt & Zhiguo He, 2012. "Endogenous liquidity and defaultable bonds," 2012 Meeting Papers 86, Society for Economic Dynamics.
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    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    Cited by:

    1. Attiya Y. Javid & Eatzaz Ahmad, 2008. "Test of Multi-moment Capital Asset Pricing Model: Evidence from Karachi Stock Exchange," PIDE-Working Papers 2008:49, Pakistan Institute of Development Economics.
    2. Tamara Teplova & Evgeniya Shutova, 2011. "A Higher Moment Downside Framework for Conditional and Unconditional Capm in the Russian Stock Market," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 1(2), pages 157-178, December.
    3. Buchner, Axel, 2016. "Dealing with non-normality when estimating abnormal returns and systematic risk of private equity: A closed-form solution," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 45(C), pages 60-78.
    4. Carl Schweser & Thomas Schneeweis, 1980. "Risk Return And The Multi-Dimensional Security Pricing Market," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 3(1), pages 23-30, March.
    5. Athayde, Gustavo M. de & Flôres Junior, Renato Galvão, 2001. "Finding a maximum skewness portfolio - A general solution to three-moments portfolio choice," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 434, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
    6. Penaranda, Francisco, 2007. "Portfolio choice beyond the traditional approach," LSE Research Online Documents on Economics 24481, London School of Economics and Political Science, LSE Library.
    7. Pedro L. Sánchez-Torres & Enrique Sentana, 1998. "Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market," Investigaciones Economicas, Fundación SEPI, vol. 22(1), pages 5-17, January.
    8. Anthonisz, Sean A., 2012. "Asset pricing with partial-moments," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2122-2135.
    9. Richard M. Duvall & Judith L. Quinn, 1981. "Skewness Preference In Stable Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 4(3), pages 249-263, September.
    10. Giuseppe arbia, 2014. "Least quartic Regression Criterion with Application to Finance," Papers 1403.4171,
    11. Athayde, Gustavo M. de & Flôres Junior, Renato Galvão, 1999. "Introducing higher moments in the CAPM: some basic ideas," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 362, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
    12. repec:hal:journl:halshs-00336475 is not listed on IDEAS
    13. Yi-Cheng Shih & Sheng-Syan Chen & Cheng-Few Lee & Po-Jung Chen, 2014. "The evolution of capital asset pricing models," Review of Quantitative Finance and Accounting, Springer, vol. 42(3), pages 415-448, April.
    14. de Athayde, Gustavo M. & Flores, Renato Jr., 2004. "Finding a maximum skewness portfolio--a general solution to three-moments portfolio choice," Journal of Economic Dynamics and Control, Elsevier, vol. 28(7), pages 1335-1352, April.
    15. Chunhachinda, Pornchai & Dandapani, Krishnan & Hamid, Shahid & Prakash, Arun J., 1997. "Portfolio selection and skewness: Evidence from international stock markets," Journal of Banking & Finance, Elsevier, vol. 21(2), pages 143-167, February.
    16. Weinreich, Daniel, 2013. "The perception of distributive fairness and optimal taxation under uncertainty," MPRA Paper 48912, University Library of Munich, Germany.

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