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The Price of Risk : From Modern Portfolio Theory to Leveraged Portfolio Theory
Le Marois, Olivier - 2019
The Modern Portfolio Theory (MPT) has been the cornerstone of the asset allocation for over 40 years. In the past …, such as the recent sub-prime crisis. The proposed Leveraged Portfolio Theory (LPT) removes the most fundamental axiom of … becomes an endogenous variable, resulting from the supply/demand equilibrium in credit markets. The resulting model leads to …
Persistent link: https://www.econbiz.de/10012905661
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Capital Asset Market Equilibrium With Liquidity Risk, Trading Constraints, and Asset Price Bubbles
Jarrow, Robert A. - 2018
This paper derives an equilibrium asset pricing model with endogenous liquidity risk, trading constraints, and asset price bubbles. Liquidity risk is modeled as a stochastic quantity impact on the price from trading, where the size of the impact depends on trade size. Asset price bubbles are...
Persistent link: https://www.econbiz.de/10012929504
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Assessing the non-financial investment profitability with variable discount rate
Gwóźdź, Katarzyna - 2015
In the work, the subject of the discount rate assessment is presented. It is crucial as regards assessing the non-financial investment profitability. The discount rate is usually considered as constant one in the whole investment period, which seems to be the main problem. The constant discount...
Persistent link: https://www.econbiz.de/10012010917
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CAPM and DCF : Does SML Relationship Gives Cost of Equity? – Ex-Ante Stock Returns are Not Same as Implied Discount Rates
Murugesan, Narayanaswamy - 2013
When Capital Asset pricing Model (CAPM) is considered as valid asset pricing theory, Security Market Line (SML) is …
Persistent link: https://www.econbiz.de/10013081162
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Is Systematic Risk Diversifiable? Presentation of a Portfolio Model that Eliminates Systematic Risk
Scholtz, Hellmut D. - 2014
The possibility to minimize volatility of the systematic risk while maximizing returns, is the use of an optimized buy long/sell short strategy that takes into account, that the market model is kinky. The equation of the market model – including a beta plus for increasing markets and a beta...
Persistent link: https://www.econbiz.de/10013043076
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Private Capital : Expected Return and Risk, Asset Allocation
Verbiest, Eddy H. - 2022
Preqin and Pitchbook data are classified and analyzed to derive a coherent set of risk-return assumptions to combine with Listed liquid assets in a traditional mean-variance framework. We find expected returns of 11%-12% for PE and 8% for PD, PC detailed per subclass. Risk is decomposed in Class...
Persistent link: https://www.econbiz.de/10014238291
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Continuous and jump betas : implications for portfolio diversification
Alexeev, Vitali; Dungey, Mardi H.; Yao, Wenying - In: Econometrics : open access journal 4 (2016) 2, pp. 1-15
Using high-frequency data, we decompose the time-varying beta for stocks into beta for continuous systematic risk and beta for discontinuous systematic risk. Estimated discontinuous betas for S&P500 constituents between 2003 and 2011 generally exceed the corresponding continuous betas. We...
Persistent link: https://www.econbiz.de/10011506397
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Portfolio selection : a technical note
Martins, Ana Paula - 2012
This note develops the solutions of the static portfolio optimization problem in explicit matrix form. Three cases are contemplated and connected, with the derivation of relevant corner solutions: the unconstrained problem in the presence of risky assets only, the constrained one, and the...
Persistent link: https://www.econbiz.de/10011526683
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Stochastic spanning
Arvanitis, Stelios; Hallam, Mark; Post, Thierry - 2015
This study develops and implements a theory and method for analyzing whether introducing new securities or relaxing …
Persistent link: https://www.econbiz.de/10010512497
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Does smooth ambiguity matter for asset pricing?
Gallant, A. Ronald; Jahan-Parvar, Mohammad R.; Liu, Hening - 2018
We use the Bayesian method introduced by Gallant and McCulloch (2009) to estimate consumption-based asset pricing models featuring smooth ambiguity preferences. We rely on semi-nonparametric estimation of a flexible auxiliary model in our structural estimation. Based on the market and aggregate...
Persistent link: https://www.econbiz.de/10011780610