Prof, Andre Perold has shown how the Capital Asset Pricing Model (with implications for asset pricing and risk-adjusted performance) can be derived from maximizing the Sharpe ratio as opposed to the traditional approach of assuming that investors maximize the utility of wealth. More recently,...

Investment managers require a consistent asset pricing model, asset allocation recommendations and risk-adjusted performance measures (or the “three facets of investing”) to be effective in managing portfolios. Incorporating three critical realities of investing into these models (i.e., that...

The Capital Asset Pricing Model (CAPM) has been the backbone of asset market finance, even though many academic studies have revealed its limitations, both theoretical and empirical. This paper argues that including liability or benchmark considerations in investment decisions may provide a...

An effective asset pricing model should provide consistent recommendations for asset pricing, asset allocation and measuring risk-adjusted performance (or the “three facets of investing”). This paper incorporates three critical realities of investing (i.e., that investors have many...

Investors live in a multi-period, volatile world and base their decisions on theories of asset pricing, and asset allocation, often derived from a single period model. They make assumptions about asset returns and volatilities and use optimizers to set their long term allocations, and often...

This paper makes a simple but bold argument that because mean-variance optimization (MVO) and the capital asset pricing model (CAPM) were derived from a theoretical construct rather than reality, they represent a specialized case of a more general theory. We suggest a theory based on the...

The primary purpose of this research is to empirically test a new asset pricing model, the Relative Asset Pricing Model (RAPM), and to confirm whether hedge portfolios on two new risk factors highlighted in that model, and embedded in all portfolios, have negative and significant risk premia. In...