Asset Pricing Models with Higher Moments

In this paper, we introduce an asset-pricing model with higher moments than the variance using the Risk-adjusted Return Theory developed by Roland and Xiang (2004a). The model is multi-factor. It can include a three-moment CAPM, a four-moment CAPM, and other models used by practitioners and researchers. We also discuss issues related to the test of the model and how to construct an optimal portfolio with the model

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Year of publication:	[2004]
Authors:	Roland, Rocky
Other Persons:	Xiang, George (contributor)
Publisher:	[2004]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (13 p)
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 21, 2004 erstellt
Other identifiers:	10.2139/ssrn.567222 [DOI]
Classification:	C39 - Econometric Methods: Multiple/Simultaneous Equation Models. Other ; G11 - Portfolio Choice ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012738058