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Introduction to Risk Parity and Budgeting
Roncalli, Thierry - Volkswirtschaftliche Fakultät, … - 2013
Although portfolio management didn’t change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a...
Persistent link: https://www.econbiz.de/10011259736
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Firm Value and the mis-use of the CAPM for valuation and decision making
Magni, Carlo Alberto - Volkswirtschaftliche Fakultät, … - 2005
This paper shows that a decision maker using the CAPM for valuing firms and making decisions may contradict Modigliani … and Miller’s Proposition I, if he adopts the widely-accepted disequilibrium NPV. As a consequence, CAPM-minded agents … disequilibrium NPV for decision-making is deductively drawn from the CAPM, its use for both valuation and decision should be rejected. …
Persistent link: https://www.econbiz.de/10004980381
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A Note on the Two-fund Separation Theorem
Wenzelburger, Jan - Volkswirtschaftliche Fakultät, … - 2008
This note contains two remarks on the traditional capital asset pricing model (CAPM) with one risk-free asset. Firstly … the risk aversion is generally necessary to guarantee existence of an equilibrium in the CAPM with one risk-free asset …
Persistent link: https://www.econbiz.de/10005260078
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Project valuation and investment decisions: CAPM versus arbitrage
Magni, Carlo Alberto - Volkswirtschaftliche Fakultät, … - 2007
This paper shows that (i) project valuation via disequilibrium NPV+CAPM contradicts valuation via arbitrage pricing …, (ii) standard CAPM-minded decision makers may fail to profit from arbitrage opportunities, (iii) standard CAPM …-based valuation violates value additivity. As a consequence, the standard use of CAPM for project valuation and decision making should …
Persistent link: https://www.econbiz.de/10005260104
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THEORETICAL FLAWS IN THE USE OF THE CAPM FOR INVESTMENT DECISIONS
Magni, Carlo Alberto - Volkswirtschaftliche Fakultät, … - 2005
This paper uses counterexamples and simple formalization to show that the standard CAPM-based Net Present Value may not … be used for investment valuations. The reason is that the standard CAPM-based capital budgeting criterion implies a … descriptions of the same problem lead to different choices. As a result, the CAPM-based NPV as a tool for valuing projects and …
Persistent link: https://www.econbiz.de/10005260262
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fama and macbeth revisited: A Critique
Salazar, Juan; Lambert, Annick - Volkswirtschaftliche Fakultät, … - 2010
The main conclusion of the FM study relies on the fact that the average of the slopes of 402 regressions of the monthly returns on 20 portfolios on theirs beta coefficients is positive. Considering this set of 402 slopes as a random sample drawn from the same normally distributed population, FM...
Persistent link: https://www.econbiz.de/10009397170
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Non-standardized form of CAPM and stock returns
Muhammad, Irfan - Volkswirtschaftliche Fakultät, … - 2012
Emerging markets like Pakistan confront with the problem to validate the CAPM in its original form. Since standard form …. This paper also introduces a non-standardized form of CAPM to validate whether it is applicable in Pakistan. The data of 20 …
Persistent link: https://www.econbiz.de/10009403458
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Risk and Return on Uganda's stock exchange.
Mayanja, Abubaker B.; Legesi, Kenneth - Volkswirtschaftliche Fakultät, … - 2007
Using data from 2003-2007, we calculate the systematic risk and cost of equity for firms listed on USE; Preliminary estimates show that nominal Cost of equity capital reduced over time from 63.24 percent (January 2005 to January 2006) to 18% (February 2006 to March 2007). The efficient frontier...
Persistent link: https://www.econbiz.de/10005616634
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CAPM-based capital budgeting and nonadditivity
Magni, Carlo Alberto - Volkswirtschaftliche Fakultät, … - 2006
This paper deals with the CAPM-derived capital budgeting criterion, and in particular with Rubinstein’s (1973 …) an example showing that CAPM-minded evaluators may incur arbitrage losses …
Persistent link: https://www.econbiz.de/10005616980
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Firm Value and the mis-use of the CAPM for valuation and decision making
Magni, Carlo Alberto - Volkswirtschaftliche Fakultät, … - 2005
This paper shows that a decision maker using the CAPM for valuing firms and making decisions may contradict Modigliani … and Miller’s Proposition I, if he adopts the widely-accepted disequilibrium NPV. As a consequence, CAPM-minded agents … disequilibrium NPV for decision-making is deductively drawn from the CAPM, its use for both valuation and decision should be rejected. …
Persistent link: https://www.econbiz.de/10005617129