O
Oldrich A Vasicek
Researcher at University of Rochester
Publications - 37
Citations - 8600
Oldrich A Vasicek is an academic researcher from University of Rochester. The author has contributed to research in topics: General equilibrium theory & Interest rate. The author has an hindex of 16, co-authored 37 publications receiving 8256 citations. Previous affiliations of Oldrich A Vasicek include University of California, Berkeley.
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An equilibrium characterization of the term structure
TL;DR: In this article, the authors derived a general form of the term structure of interest rates and showed that the expected rate of return on any bond in excess of the spot rate is proportional to its standard deviation.
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A Test for Normality Based on Sample Entropy
TL;DR: In this article, a test of the composite hypothesis of normality is introduced, based on the property of the normal distribution that its entropy exceeds that of any other distribution with a density that has the same variance.
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A note on using cross-sectional information in bayesian estimation of security betas
TL;DR: In this paper, the authors present a method for generating Bayesian estimates of the regression coefficient of rates of return of a security against those of a market index, which is used as the prior distribution in the analysis.
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Term Structure Modeling Using Exponential Splines
TL;DR: A number of theoretical equilibrium models have been proposed in the recent past to describe the term structure of interest rates, such as Brennan and Schwartz [1979], Cox, Ingersoll and Ross [1981], Langetieg [1980], and Vasicek [1977] as mentioned in this paper.
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A Risk Minimizing Strategy for Portfolio Immunization
TL;DR: In this paper, it is shown that there is a lower limit on the change in the end-of-horizon value of the portfolio resulting from any given change in a structure of interest rates.