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[[File:CML-plot.png|320px|thumb|Capital market line]] ...{cite web|title=CML|url=http://www.nasdaq.com/investing/glossary/c/capital-market-line|website=[[NASDAQ]]|publisher=nasdaq.com|access-date=15 May 2017}}</ref ...

...al returns (α)''': Below-average returns that cannot be explained by below-market risk]] ...nterest rate|risk-free return]] and the X-axis is the excess return of the market in general. The slope of the SCL is the security's [[beta (finance)|beta]], ...

...CAL) is a graph created by investors to measure the risk of risky and risk-free assets. The graph displays the return to be made by taking on a certain lev ...vestments/capital-allocation.htm|title = Capital Allocation Between a Risk-Free Asset and a Risky Asset; Capital Allocation Line (CAL)}}</ref>{{better sour ...

...del assumes an investor who considers that most securities are [[Efficient-market hypothesis|priced efficiently]], but who believes they have information tha ...y invested [[index fund]] containing all securities in proportion to their market value and an 'active portfolio' containing the securities for which the inv ...

...on date, the combatants then can start selling that particular drug in the market. This was a Patent Cliff.<ref>{{Cite report|url=http://ec.europa.eu/competi | title = Biosimilars: Company Strategies to Capture Value from the Biologics Market ...

...n let <math>S</math> be the vector of prices, <math>r</math> be the [[risk-free rate]] (and therefore <math>\bar{S}</math> is the [[discounted price]]).<re Let <math>S=(S_t)_{t\geq 0}</math> be a d-dimensional [[semimartingale]] market and <math>H=(H_t)_{t\geq 0}</math> a predictable stochastic process/trading ...

|publisher=Free Press}}</ref> is a means of measuring historical investment portfolio perfo : <math>A</math> is the beginning market value, ...

...k|url=https://books.google.com/books?id=oNGKuTj6KeQC&dq=%22Winner-take-all+market%22&pg=PA101|title=Rock and Roll Fantasy?: The Reality of Going from Garage ...of rewards for different amounts of work determines the degree to which a market is considered winner-take-all. For example, most [[Lottery|lottery games]] ...

...cise Price Option (or short [[LEPO]]). The mathematical proof of arbitrage free pricing is based on [[Martingale representation theorem|martingale represen ...c formulae for option prices and Greeks can be stated. Later work looks at market completion with general calls or puts.<ref>{{Cite web |url=http://www.wilmo ...

...| issue = 1 | pages = 57–82 | year = 1997 | jstor = 2329556| doi-access = free }}</ref><ref>{{cite journal |last1=Hezbi |first1=Hashem |last2=Salehi |firs 1. The market model: ...

...rasting to both, PPV calculates the average NPV ({{mvar|μ}}) at the [[risk-free rate]], penalizing it afterwards by subtracting "{{mvar|t}}" [[standard dev ...distribution|normally distributed]], and can be calculated using the risk-free rate. ...

...ates the fact that Alpha Profiling must combine public information such as market data with private information including as the identity of the portfolio ma == Market Impact== ...

...k price correlation used for observing, analyzing and predicting the stock market dynamics. ...ent [[hedge funds]] and observed the patterns before the August 2007 stock market turbulence.<ref>Andrew W. Lo Amir E. Khandaniy. (2007). What happened to th ...

...ortfolios]], the latter being fundamental for [[Rational pricing|arbitrage-free derivative pricing]]. ...vency cone]] (with or without [[transaction costs]]) at time ''t'' for the market. Denote by <math>L_d^p(K_t) = \{X \in L_d^p(\mathcal{F}_T): X \in K_t \; P ...

...rn, <math>m(t)</math> is the market index return, <math>e(i,t)</math> is a market residual return and <math>b(i,t)</math> is a parameter fit by a time series ...or each asset. Thus the model had no explicit market factor but rather the market return was projected on to the industry returns. Torre modified this scheme ...

...t of the market, where the scaled portfolio has the same volatility as the market. It is derived from the widely used [[Sharpe ratio]], but it has the signif ...sue=Fall|pages=49–58|doi=10.3905/jpm.1994.409501|s2cid=55394403|doi-access=free}}</ref> ...

A '''prior-free mechanism (PFM)''' is a [[mechanism design|mechanism]] in which the designe Several approaches for designing truthful prior-free mechanisms are described below. ...

...ectional-change dissection procedure.png|thumb|'''Figure 1:''' A financial market price curve (grey) dissected by a set of directional-changes (grey squares) ...1|issue=2|pages=95–129|doi=10.1007/s007800050018|issn=0949-2984|doi-access=free}}</ref> Directional-change intrinsic time operator dissects a data series i ...

...ive returns; active managers as a whole in this case cannot outperform the market portfolio.<ref>{{Cite web|url=https://www.cfainstitute.org/-/media/document ...ntext of CAPM, a portfolio's investment benchmark represents a consensus [[market portfolio]].<ref>{{cite book|title=Active Portfolio Management: A Quantitat ...

...ert C. Merton]] and [[Paul A. Samuelson]], as extensions to the one-period market models of [[Harold Markowitz]] and [[William F. Sharpe]], and are concerned ...is that asset prices have no jumps, that is there are no surprises in the market. This last assumption is removed in [[jump diffusion]] models. ...