Table of Contents: :: Library Catalog

Saved in:

Bibliographic Details
Main Authors:	Atsiwo, Abraham, Sarantsev, Andrey
Format:	Preprint
Published:	2024
Subjects:	Mathematical Finance Probability Statistical Finance 60G50, 62J05, 62M10, 62P05, 91G15
Online Access:	https://arxiv.org/abs/2411.19444
Tags:	Add Tag No Tags, Be the first to tag this record!

Table of Contents:

The Capital Asset Pricing Model (CAPM) relates a well-diversified stock portfolio to a benchmark portfolio. We insert size effect in CAPM, capturing the observation that small stocks have higher risk and return than large stocks, on average. Dividing stock index returns by the Volatility Index makes them independent and normal. In this article, we combine these ideas to create a new discrete-time model, which includes volatility, relative size, and CAPM. We fit this model using real-world data, prove the long-term stability, and connect this research to Stochastic Portfolio Theory. We fill important gaps in our previous article on CAPM with the size factor.

if (filemtime($filename) + $maxlifetime < time()) { unlink($filename); $count++; } } return $count; } /** * A function that is called internally when session data is to be saved. * * @param string $sessId The current session ID * @param string $data The session data to write * * @return bool */ protected function saveSession($sessId, $data): bool { $sessFile = $this->path . '/sess_' . $sessId; if ($handle = fopen($sessFile, 'w')) { $return = false; // Lock the file for exclusive access to avoid issues with multiple // processes writing session simultaneously: if (flock($handle, LOCK_EX)) { $return = fwrite($handle, $data); // Make sure that there's no trailing data by truncating the file to // the correct length: ftruncate($handle, strlen($data)); fflush($handle); flock($handle, LOCK_UN); } fclose($handle); if ($return !== false) { return true; } } // If we got this far, something went wrong with the file output... // It is tempting to throw an exception here, but this code is called // outside of the context of exception handling, so all we can do is // echo a message.

// Anecdotal testing Today and Yesterday seems to indicate destroy() // is called by the garbage collector and everything is good. // Something to keep in mind though. return 0; } /** * Write function that is called when session data is to be saved. * * @param string $sessId The current session ID * @param string $data The session data to write * * @return bool */ public function write($sessId, $data): bool { if ($this->writesDisabled) { return true; } return $this->saveSession($sessId, $data); } /** * A function that is called internally when session data is to be saved. * * @param string $sessId The current session ID * @param string $data The session data to write * * @return bool */ abstract protected function saveSession($sessId, $data): bool; }

* * @return void */ public function writeClose() { // The assumption is that we're using PHP's ext/session. // session_write_close() will actually overwrite $_SESSION with an // empty array on completion -- which leads to a mismatch between what // is in the storage object and $_SESSION. To get around this, we // temporarily reset $_SESSION to an array, and then re-link it to // the storage object. // // Additionally, while you _can_ write to $_SESSION following a // session_write_close() operation, no changes made to it will be // flushed to the session handler. As such, we now mark the storage // object isImmutable. $storage = $this->getStorage(); if (! $storage->isImmutable()) { $_SESSION = $storage->toArray(true); session_write_close(); $storage->fromArray($_SESSION); $storage->markImmutable(); } } /** * Attempt to set the session name * * If the session has already been started, or if the name provided fails * validation, an exception will be raised. * * @param string $name * @return SessionManager * @throws Exception\InvalidArgumentException */ public function setName($name) { if ($this->sessionExists()) { throw new Exception\InvalidArgumentException( 'Cannot set session name after a session has already started'

Environment & details:

GET Data empty

POST Data empty

Files empty

Key	Value
VUFIND_SESSION	"46e0edc9a51c07e01bbd92e481f4421a"
language	"en"
ui	"standard"

Session

Key	Value
__Laminas	array:2 [`"_REQUEST_ACCESS_TIME" => 1784681128.3398 "_VALID" => array:1 [ "Laminas\Session\Validator\Id" => "46e0edc9a51c07e01bbd92e481f4421a" ]`]
SessionState	Laminas\Stdlib\ArrayObject {#938}
FlashMessenger	Laminas\Stdlib\ArrayObject {#1583}
SessionHelper	Laminas\Stdlib\ArrayObject {#1771}

Server/Request Data

Key	Value
REDIRECT_VUFIND_LOCAL_DIR	"/usr/local/vufind/local"
REDIRECT_HTTPS	"on"
REDIRECT_SSL_TLS_SNI	"info.umar.mx"
REDIRECT_STATUS	"200"
VUFIND_LOCAL_DIR	"/usr/local/vufind/local"
HTTPS	"on"
SSL_TLS_SNI	"info.umar.mx"
HTTP_ACCEPT	"/"
HTTP_USER_AGENT	"Mozilla/5.0 AppleWebKit/537.36 (KHTML, like Gecko; compatible; ClaudeBot/1.0; +claudebot@anthropic.com)"
HTTP_COOKIE	"VUFIND_SESSION=46e0edc9a51c07e01bbd92e481f4421a; language=en; ui=standard"
HTTP_ACCEPT_ENCODING	"gzip, br, zstd, deflate"
HTTP_HOST	"info.umar.mx"
PATH	"/usr/local/sbin:/usr/local/bin:/usr/sbin:/usr/bin:/snap/bin"
SERVER_SIGNATURE	"<address>Apache/2.4.66 (Ubuntu) Server at info.umar.mx Port 443</address>\n"
SERVER_SOFTWARE	"Apache/2.4.66 (Ubuntu)"
SERVER_NAME	"info.umar.mx"
SERVER_ADDR	"200.23.222.19"
SERVER_PORT	"443"
REMOTE_ADDR	"216.73.216.85"
DOCUMENT_ROOT	"/usr/local/vufind/public"
REQUEST_SCHEME	"https"
CONTEXT_PREFIX	""
CONTEXT_DOCUMENT_ROOT	"/usr/local/vufind/public"
SERVER_ADMIN	"admin@localhost"
SCRIPT_FILENAME	"/usr/local/vufind/public/index.php"
REMOTE_PORT	"43246"
REDIRECT_URL	""" /Record/\n arxiv_https___arxiv_org_abs_2411_19444/TOC """
GATEWAY_INTERFACE	"CGI/1.1"
SERVER_PROTOCOL	"HTTP/1.1"
REQUEST_METHOD	"GET"
QUERY_STRING	""
REQUEST_URI	"/Record/%0Aarxiv_https___arxiv_org_abs_2411_19444/TOC"
SCRIPT_NAME	"/index.php"
PHP_SELF	"/index.php"
REQUEST_TIME_FLOAT	1784681128.3356
REQUEST_TIME	1784681128

Environment Variables empty

Registered Handlers

0. Whoops\Handler\PrettyPageHandler

Environment & details:

GET Data empty

POST Data empty

Files empty

Key	Value
VUFIND_SESSION	"46e0edc9a51c07e01bbd92e481f4421a"
language	"en"
ui	"standard"

Session

Key	Value
__Laminas	array:2 [`"_REQUEST_ACCESS_TIME" => 1784681128.3398 "_VALID" => array:1 [ "Laminas\Session\Validator\Id" => "46e0edc9a51c07e01bbd92e481f4421a" ]`]
SessionState	Laminas\Stdlib\ArrayObject {#938}
FlashMessenger	Laminas\Stdlib\ArrayObject {#1583}
SessionHelper	Laminas\Stdlib\ArrayObject {#1771}

Server/Request Data

Key	Value
REDIRECT_VUFIND_LOCAL_DIR	"/usr/local/vufind/local"
REDIRECT_HTTPS	"on"
REDIRECT_SSL_TLS_SNI	"info.umar.mx"
REDIRECT_STATUS	"200"
VUFIND_LOCAL_DIR	"/usr/local/vufind/local"
HTTPS	"on"
SSL_TLS_SNI	"info.umar.mx"
HTTP_ACCEPT	"/"
HTTP_USER_AGENT	"Mozilla/5.0 AppleWebKit/537.36 (KHTML, like Gecko; compatible; ClaudeBot/1.0; +claudebot@anthropic.com)"
HTTP_COOKIE	"VUFIND_SESSION=46e0edc9a51c07e01bbd92e481f4421a; language=en; ui=standard"
HTTP_ACCEPT_ENCODING	"gzip, br, zstd, deflate"
HTTP_HOST	"info.umar.mx"
PATH	"/usr/local/sbin:/usr/local/bin:/usr/sbin:/usr/bin:/snap/bin"
SERVER_SIGNATURE	"<address>Apache/2.4.66 (Ubuntu) Server at info.umar.mx Port 443</address>\n"
SERVER_SOFTWARE	"Apache/2.4.66 (Ubuntu)"
SERVER_NAME	"info.umar.mx"
SERVER_ADDR	"200.23.222.19"
SERVER_PORT	"443"
REMOTE_ADDR	"216.73.216.85"
DOCUMENT_ROOT	"/usr/local/vufind/public"
REQUEST_SCHEME	"https"
CONTEXT_PREFIX	""
CONTEXT_DOCUMENT_ROOT	"/usr/local/vufind/public"
SERVER_ADMIN	"admin@localhost"
SCRIPT_FILENAME	"/usr/local/vufind/public/index.php"
REMOTE_PORT	"43246"
REDIRECT_URL	""" /Record/\n arxiv_https___arxiv_org_abs_2411_19444/TOC """
GATEWAY_INTERFACE	"CGI/1.1"
SERVER_PROTOCOL	"HTTP/1.1"
REQUEST_METHOD	"GET"
QUERY_STRING	""
REQUEST_URI	"/Record/%0Aarxiv_https___arxiv_org_abs_2411_19444/TOC"
SCRIPT_NAME	"/index.php"
PHP_SELF	"/index.php"
REQUEST_TIME_FLOAT	1784681128.3356
REQUEST_TIME	1784681128

Environment Variables empty

Registered Handlers

0. Whoops\Handler\PrettyPageHandler

Similar Items

Environment & details:

Environment & details: