IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

A subjective assessment of approximate probabilities with a portfolio application

  • Smimou, K.
  • Bector, C.R.
  • Jacoby, G.
Registered author(s):

    No abstract is available for this item.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://www.sciencedirect.com/science/article/B7CPK-4J624TJ-1/2/5a4b974c0318952ce9643700464e7e1f
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Article provided by Elsevier in its journal Research in International Business and Finance.

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

    as
    in new window

    Handle: RePEc:eee:riibaf:v:21:y:2007:i:2:p:134-160
    Contact details of provider: Web page: http://www.elsevier.com/locate/ribaf

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

    as in new window
    1. 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.
    2. 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.
    3. 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.
    4. 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.
    5. Kane, Stephen A., 1999. "What happened to the utility functions?: Imprecise expectations of security prices," International Review of Financial Analysis, Elsevier, vol. 8(2), pages 165-175, June.
    6. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, 09.
    7. Robinson, Chris, 1996. "Can we reconcile finance with nature?," International Review of Financial Analysis, Elsevier, vol. 5(3), pages 185-195.
    8. 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.
    9. Arnold, Tom & Nail, Lance & Nixon, Terry D., 2004. "Do ADRs enhance portfolio performance for a domestic portfolio? Evidence from the 1990s," Research in International Business and Finance, Elsevier, vol. 18(3), pages 341-359, September.
    10. 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.
    11. 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.
    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.
    13. Easley, David, et al, 1996. " Liquidity, Information, and Infrequently Traded Stocks," Journal of Finance, American Finance Association, vol. 51(4), pages 1405-36, September.
    14. Nawrocki, David, 1984. "Entropy, Bifurcation and Dynamic Market Disequilibrium," The Financial Review, Eastern Finance Association, vol. 19(2), pages 266-84, May.
    15. 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.
    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. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
    18. John C. Robertson & Ellis W. Tallman & Charles H. Whiteman, 2002. "Forecasting using relative entropy," Working Paper 2002-22, Federal Reserve Bank of Atlanta.
    19. Chen, Andrew H., 1977. "Portfolio Selection with Stochastic Cash Demand," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(02), pages 197-213, June.
    20. Shumway, Tyler, 2001. "Forecasting Bankruptcy More Accurately: A Simple Hazard Model," The Journal of Business, University of Chicago Press, vol. 74(1), pages 101-24, January.
    21. 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.
    22. Porter, David C., 1992. "The Probability of a Trade at the Ask: An Examination of Interday and Intraday Behavior," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(02), pages 209-227, June.
    23. Lubo Pástor, . "Portfolio Selection and Asset Pricing Models," CRSP working papers 498, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    24. Henri Theil, 1969. "On the use of Information Theory Concepts in the Analysis of Financial Statements," Management Science, INFORMS, vol. 15(9), pages 459-480, May.
    25. David Schmeidler, 1989. "Subjective Probability and Expected Utility without Additivity," Levine's Working Paper Archive 7662, David K. Levine.
    26. Kroll, Yoram & Levy, Haim, 1980. "Sampling Errors and Portfolio Efficient Analysis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(03), pages 655-688, September.
    27. Richard Rouge & Nicole El Karoui, 2000. "Pricing Via Utility Maximization and Entropy," Mathematical Finance, Wiley Blackwell, vol. 10(2), pages 259-276.
    28. Kane, Stephen, 2004. "Scientific methods in finance," International Review of Financial Analysis, Elsevier, vol. 13(1), pages 105-118.
    29. 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.
    30. 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.
    31. Thorsten Rheinländer, 2005. "An entropy approach to the Stein and Stein model with correlation," Finance and Stochastics, Springer, vol. 9(3), pages 399-413, 07.
    32. 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.
    33. Stutzer, Michael, 1996. " A Simple Nonparametric Approach to Derivative Security Valuation," Journal of Finance, American Finance Association, vol. 51(5), pages 1633-52, December.
    34. 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.
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:eee:riibaf:v:21:y:2007:i:2:p:134-160. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.