What's new

stochastic-discount-factors

  1. Nicole Seaman

    P2.T9.20.2. Factor theory: stochastic discount factors

    Learning objectives: Describe multifactor models and compare and contrast multifactor models to the CAPM. Explain how stochastic discount factors are created and apply them in the valuation of assets. Describe efficient market theory and explain how markets can be inefficient. Questions...
  2. F

    Asset Mgmt Factor Investing P2.T8 Stochastic Discount Factor is multiplied?

    On page 9 of the notes for Ang's investment management - factoring investing, it says the stochastic discount factor is MULTIPLIED by the payoff to arrive at asset price, near the bottom of the page. Given that the STD, m, is = a + bf + bf...+bf and the CAPM discount is just = a + bf, why is the...
  3. Nicole Seaman

    P2.T8.701. Multifactor models (Andrew Ang)

    Learning objectives: Describe multifactor models, and compare and contrast multifactor models to the CAPM. Explain how stochastic discount factors are created and apply them in the valuation of assets. Describe efficient market theory and explain how markets can be inefficient. Questions...
Top