relate to investment performance and mortality/longevity development. We first develop stochastic models for equity and bond … takes into account the empirical observations of infrequent exceptionally large losses. The 5-year US government bond yearly …

We estimate a non-parametrical Capital Asset Pricing Model (CAPM) and find strong evidence rejecting the classical … linear CAPM. Furthermore, we find inconsistent linear betas for a series of stocks in the Colombian stock exchange (BVC …), supporting the hypothesis of a better and consistent fitting of non-parametrical versions of the CAPM. …

. However, the beta parameter of the Capital Asset Pricing Model (CAPM) is invariant to the holding period. Such contradiction … fixes the CAPM´s bias resulting from this abiding -but flawed- assumption. The proposed procedure is based on Greene and … Fielitz (1980) seminal work on the application of fractional Brownian motion to CAPM, and on a revised technique for …

neutralidad del horizonte de tiempo en el CAPM, estimando el efecto cuantitativo de la existencia de dependencia de largo plazo en …

is to identify the relationship between this perception and long-term bond rates. For German data, the use of a two …