Search Results - subject:"CAPM"

Market Selection and Survival of Investment Strategies

Amir, Rabah; Evstigneev, Igor V.; Hens, Thorsten; … - Institut für Volkswirtschaftslehre, …

the assumption that the trader's strategy is asymptotically distinct from the CAPM strategy (prescribing in-vestment in …

Persistent link: https://www.econbiz.de/10005585627

An Application of Evolutionary Finance to Firms Listed in the Swiss Market Index

Hens, Thorsten; Schenk-Hoppé, Klaus Reiner; Stalder, Martin - Institut für Volkswirtschaftslehre, …

This paper presents an application of evolutionary portfolio theory to stocks listed in the Swiss Market Index (SMI). We study numerically the long-run outcome of the competition of rebalancing rules for market shares in a stock market with actual dividends taken from firms listed in the SMI....

Persistent link: https://www.econbiz.de/10005627836

An Evolutionary Approach to Financial Innovation

Bettzuege, Marc Oliver; Hens, Thorsten - Institut für Volkswirtschaftslehre, …

they have emerged. To this end, we model an infinite sequence of CAPM--economies in which financial products can be used …

Persistent link: https://www.econbiz.de/10005627854

On Uniqueness of Equilibria in the CAPM - (This paper replaces "Existence and Uniqueness of Equilibria in the CAPM")

Hens, Thorsten; Laitenberger, Joerg; Loeffler, Andreas - Institut für Volkswirtschaftslehre, …

In the standard CAPM with a riskless asset we give a sufficient condition for uniqueness. This condition is a joint … which is in particular satisfied with constant absolute risk aversion. Moreover in the CAPM without a riskless asset we give …

Persistent link: https://www.econbiz.de/10005627885

Competitive Nash Equilibria and Two Period Fund Separation

Hens, Thorsten; Reimann, Stefan; Vogt, Bodo - Institut für Volkswirtschaftslehre, …

We suggest a simple asset market model in which we analyze competitive and strategic behavior simultaneously. If for competitive behavior two-fund separation holds across periods then it also holds for strategic behavior. In this case the relative prices of the assets do not depend on whether...

Persistent link: https://www.econbiz.de/10005627924

Learning about Beta: Time-Varying Factor Loadings, Expected Returns,and the Conditional CAPM

FRANZONI, Francesco; ADRIAN, Tobias

We complement the conditional CAPM by introducing unobservable long-run changes in risk factor loadings. In this … variation in betas, our approach circumvents recent criticisms of the conditional CAPM. When tested on portfolios sorted by size … and book-to-market, our learning-augmented conditional CAPM fails to be rejected. …

Persistent link: https://www.econbiz.de/10005222550

Risk, returns and possible speculative bubbles in the price of Danish forest land?

Thorsen, Bo Jellesmark - In: Scandinavian Forest Economics: Proceedings of the …, 43

In this short paper I analyse the development of returns to forest land in Denmark for the period 1947 to 2007. The data used are fairly unique time series of forest enterprises annual accounts in combination with property value assessments over the entire period. They allow for a dissection of...

Persistent link: https://www.econbiz.de/10011200860

The capital asset pricing model and regulated utility cost of equity determination

Harrington, Diana R. - 1979

Persistent link: https://www.econbiz.de/10000858840

The valuation of reserves of natural resources : an option pricing approach

Tourinho, Octávio Augusto Fontes - 1979

Persistent link: https://www.econbiz.de/10000802716

Research in finance

Bingley [u.a.] : Emerald JAI; 1979-2000: Stamford, …; … - 1.1979 -

Persistent link: https://www.econbiz.de/10000426714