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Kim, Daehwan - 2014

extended CAPM, there exists a linear relationship between expected return and expected co-drawdown. We interpret expected co …

Persistent link: https://www.econbiz.de/10013070149

Asset Pricing with Heterogeneous Investors and Portfolio Constraints

Chabakauri, Georgy - 2014

We study general equilibrium in a Lucas (1978) economy with one consumption good and two investors with heterogeneous risk aversions and beliefs about aggregate consumption growth rate, and portfolio constraints. We provide a comprehensive comparison of various constraints, and show which of...

Persistent link: https://www.econbiz.de/10013070197

Validity of Capital Assets Pricing Model : Evidence from KSE-Pakistan

Bhatti, Uzair - 2014

Capital Assets Pricing Model (CAPM) is the widely tested, accepted and rejected model of asset pricing. From its … is to form an opinion about authenticity and validity of CAPM. Our methodology includes the beta calculation through … calculation of results. Findings suggest that CAPM gives accurate results for a limited period and for few companies only. Out of …

Persistent link: https://www.econbiz.de/10013070329

Portfolio Constraints and Contagion in Emerging Markets

Ilyina, A. - 2013

The objective of this paper is twofold: (1) to analyze an optimal portfolio rebalancing by a fund manager in response to a “volatility shock” in one of the asset markets, under sufficiently realistic assumptions about the fund manager's performance criteria and portfolio restrictions; and...

Persistent link: https://www.econbiz.de/10013075518

A Taxonomy of Beta Based on Investment Outcomes

De Boer, Sanne - 2016

The traditional active vs passive debate has been shaken up by the emergence of “smart beta” strategies. As the population of these products has exploded, the quest to differentiate among them has focused on portfolio construction techniques rather than what actually matters, namely...

Persistent link: https://www.econbiz.de/10013000102

Real Estate Betas and the Implications for Asset Allocation

Mladina, Peter - 2018

Real estate is an important asset class, but what specifically does real estate contribute to improve diversified stock–bond portfolios? The author decomposes real estate investment trust returns into their factor betas to show that real estate is a hybrid asset class, with returns explained...

Persistent link: https://www.econbiz.de/10012925853

Time Variation in Life Expectancy, Optimal Portfolio Choice and the Cross-Section of Asset Returns

Maurer, Thomas Andreas - 2015

according to the CAPM …

Persistent link: https://www.econbiz.de/10013039157

The CAPM Controversy : Policy and Strategy Implications for Investment Management: An Overview

Harrington, Diana - 2009

This paper presents an overview of the AIMR conference, The CAPM Controversy: Policy and Strategy Implications for …

Persistent link: https://www.econbiz.de/10013153118

Arbitrage Opportunity, Impossible Frontier, and Logical Circularity in CAPM Equilibrium

Abad, Pharos - 2020

-variance market equilibrium (CAPM equilibrium, see Proposition 4) …

Persistent link: https://www.econbiz.de/10012841039

Betting Against Other Betas

Murray, Scott - 2020

Using several multi-factor models, I find strong "betting against beta'' effects - flat relations between betas and expected returns - for most non-market factors in US and international stock markets. "Arbitrage portfolios'' designed to profit from these effects earn average returns similar to...

Persistent link: https://www.econbiz.de/10012841238