68 citations · 110 across the 6 of their papers we have counts for
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q-fin.PR2015★ 11 cited
Generalized asset pricing: Expected Downside Risk-Based Equilibrium Modelling
Mihaly Ormos, Dusan Timotity
We introduce an equilibrium asset pricing model, which we build on the relationship between a novel risk measure, the Expected Downside Risk (EDR) and the expected return. On the o…
q-fin.PR2015★ 68 cited
Entropy-Based Financial Asset Pricing
Mihaly Ormos, David Zibriczky
We investigate entropy as a financial risk measure. Entropy explains the equity premium of securities and portfolios in a simpler way and, at the same time, with higher explanatory…