An investigation of a portfolio-loss under the CAPM

We consider a portfolio built according to the Capital Market Line of the Capital-Asset-Pricing Model. The universe of asset classes include marketable shares and bonds only. We investigate losses that emerge when the rate of return of the portfolio is lower than that required to fulfil a defined obligation. We will classify these losses and calculate upper limits for them.

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Year of publication:	2004-02-12
Authors:	Reznik, V. ; Spreitzer, U.
Institutions:	EconWPA
Subject:	portfolio CAPM loss

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Extent:	application/pdf
Series:	Finance.
Type of publication:	Book / Working Paper
Notes:	Type of Document - pdf; prepared on win98; pages: 8; 8 pages
Classification:	G - Financial Economics
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005134647