present study seeks to investigate the existing canonical correlation among the effective factors including x variables that consist of environmental factors, inter-organizational factors and the creation factors of the perceptual value; on the components of competitiveness, as well as y variables consisting of enterprise performance against the market, the customers and the internal performanc...

We present an arbitrage free theoretical framework for modeling bid and ask prices of dividend paying securities in a discrete time setup using theory of dynamic acceptability indices. In the first part of the paper we develop the theory of dynamic subscale invariant performance measures, on a general probability space, and discrete time setup. We prove a representation theorem of such measures...

Contingent claim contracts on certain natural resources may involve underlying assets which exist in either developed (S) or undeveloped (S-c) states. While the positive prices of the developed asset may be modelled by the standard geometric Brownian motion over the specified term of the contract, the lower priced undeveloped asset may become negative due to a conversion cost (c) given in the c...

The paper deals with defaultable markets, one of the main research areas of mathematical finance. It proposes a new approach to the theory of such markets using techniques from the calculus of optional stochastic processes on unusual probability spaces, which was not presented before. The paper is a foundation paper and contains a number of fundamental results on modeling of defaultable markets...

Empirical tests of the arbitrage pricing theory using measured variables rely on the accuracy of standard inferential theory in approximating the distribution of the estimated risk premiums and factor betas. The techniques employed thus far perform factor selection and model inference sequentially. Recent advances in Bayesian variable selection are adapted to an approximate factor model to inve...

In this work, we identify the most general measure of arbitrage for any market model governed by Itô processes. We show that our arbitrage measure is invariant under changes of numéraire and equivalent probability. Moreover, such measure has a geometrical interpretation as a gauge connection. The connection has zero curvature if and only if there is no arbitrage. We prove an extension of the Ma...