De Giorgi, Enrico; Post, Thierry - Institut für Schweizerisches Bankwesen <Zürich> - 2004
Starting from the reward-risk model for portfolio selection introduced in De Giorgi (2004), we derive the reward-risk Capital Asset Pricing Model (CAPM) analogously to the classical mean-variance CAPM. The reward-risk portfolio selection arises froman axiomatic definition of reward and risk...
