The thesis consists of two essays: "The CAPM -- A General Equilibrium Foundation" and "The Foreign Exchange Rate in … Financial Markets".The Capital Asset Pricing Model (CAPM) is one of the most successful models for portfolio selection. The … advantages are the simple risk measure and the quite applicable properties of CAPM-equilibria: The Mutual Fund Theorem, the Beta …

Theory (APT). In the second part, an algorithm called "individualized semi-linear regression" is discussed. The algorithm is …

coefficients of coskewness and cokurtosis have the correct sign as predicted by the higher-moment CAPM theory but only cokurtosis … size and book-to-market ratio in Chapter 3. This is a cross-sectional test of the conditional CAPM. The models examined …-factor asset pricing models. Models tested are the CAPM, the Fama-French three-factor model and a four-factor model including the …

kernel that depends on returns, as in the CAPM or the APT, can accurately price assets. In this sense, theory based on …Recent developments in intertemporal asset pricing theory focus on two sets of fundamental determinants of asset …, most empirical applications, as well as the best practice in the financial industry, ignore much of what theory has to say …