Aue, Alexander; Hörmann, Siegfried; Horváth, Lajos; … - In: Econometric Theory 28 (2012) 04, pp. 804-837
Despite substantial criticism, variants of the capital asset pricing model (CAPM) remain to this day the primary statistical tools for portfolio managers to assess the performance of financial assets. In the CAPM, the risk of an asset is expressed through its correlation with the market, widely...