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The Capital Asset Pricing Model [PDF]
Encyclopedia, 2007 The capital asset pricing model (CAPM) is an influential paradigm in financial risk management. It formalizes mean-variance optimization of a risky portfolio given the presence of a risk-free investment such as short-term government bonds. The CAPM defines the price of financial assets according to the premium demanded by investors for bearing excess ...
Janette Rutterford, Marcus Davison
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The Capital Asset Pricing Model [PDF]
Journal of Economic Perspectives, 2004 The Capital Asset Pricing Model (CAPM) revolutionized modern finance. Developed in the early 1960s by William Sharpe, Jack Treynor, John Lintner and Jan Mossin, the model provided the first coherent framework for relating the required return on an investment to the risk of that investment.
André F Perold
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Robust estimation in Capital Asset Pricing Model [PDF]
Journal of Applied Mathematics and Decision Sciences, 2000 Bian and Dickey (1996) developed a robust Bayesian estimator for the vector of regression coefficients using a Cauchy-type g-prior. This estimator is an adaptive weighted average of the least squares estimator and the prior location, and is of great robustness with respect to at-tailed sample distribution.
Wong, W.-K., Bian, G.
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The Lost Capital Asset Pricing Model
SSRN Electronic Journal, 2017 Abstract We provide a novel explanation for the empirical failure of the capital asset pricing model (CAPM) despite its widespread practical use. In a rational-expectations economy in which information is dispersed, variation in expected returns over time and across investors creates an informational gap between investors and the ...
Andrei, D, Cujean, J, Wilson, M
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Anchoring Adjusted Capital Asset Pricing Model [PDF]
Journal of Behavioral Finance, 2015 What happens when the capital asset pricing model (CAPM) is adjusted for the anchoring and adjustment heuristic of Tversky and Kahneman (1974)? The surprising finding is that adjusting CAPM for anchoring provides a plausible unified framework for understanding almost all of the key asset pricing anomalies.
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Retracted: Application of Capital Asset Pricing Model Based on BP Neural Network in E-commerce Financing. [PDF]
Comput Intell Neurosci, 2023 Intelligence And Neuroscience C.
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Corrigendum to "An augmented capital asset pricing model using new macroeconomic determinants" [Volume 6, Issue 10 (October 2020) e05185]. [PDF]
Heliyon, 2023 Pham CD, Phuoc LT.
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The game-theoretic capital asset pricing model
International Journal of Approximate Reasoning, 2008 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Vladimir Vovk, Glenn Shafer
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An augmented capital asset pricing model using new macroeconomic determinants. [PDF]
Heliyon, 2020 Pham CD, Phuoc LT.
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Is estimating the Capital Asset Pricing Model using monthly and short-horizon data a good choice? [PDF]
Heliyon, 2020 Pham CD, Phuoc LT.
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