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An Intertemporal Capital Asset Pricing Model
Econometrica, 1973Summary: An intertemporal model for the capital market is deduced from the portfolio selection behavior by an arbitrary number of investors who act so as to maximize the expected utility of lifetime consumption and who can trade continuously in time.
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A Review of Capital Asset Pricing Models
SSRN Electronic Journal, 2004PurposeThe main aspect of security analysis is its valuation through a relationship between the security return and the associated risk. The purpose of this paper is to review the traditional capital asset pricing model (CAPM) and its variants adopted in empirical investigations of asset pricing.Design/methodology/approachPricing models are discussed ...
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Finance and Business Economies Review, 2020
This study aims to identify the model of capital asset pricing (CAPM), which occupies a privileged positionin the stock market because it is one of the analysis tools that take into account the relationship betweenreturn and risk in securities and capital investments in general.
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This study aims to identify the model of capital asset pricing (CAPM), which occupies a privileged positionin the stock market because it is one of the analysis tools that take into account the relationship betweenreturn and risk in securities and capital investments in general.
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Existence Theorems in the Capital Asset Pricing Model
Econometrica, 1991In the capital asset pricing model (CAPM) a finite number of traders exchange assets, starting with an initial portfolio. Preferences among portfolios of assets are given by a utility function in terms of mean and variance of the returns of the portfolio and characterized by the risk aversion function corresponding to the utility.
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1987
Two general approaches to the problem of valuing assets under uncertainty may be distinguished. The first approach relies on arbitrage arguments of one kind or another, while under the second approach equilibrium asset prices are obtained by equating endogenously determined asset demands to asset supplies, which are typically taken as exogenous ...
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Two general approaches to the problem of valuing assets under uncertainty may be distinguished. The first approach relies on arbitrage arguments of one kind or another, while under the second approach equilibrium asset prices are obtained by equating endogenously determined asset demands to asset supplies, which are typically taken as exogenous ...
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2018
The Capital Asset Pricing Model (CAPM) is the most well-known equilibrium model in the capital market. The standard form of CAPM provides a clear description of capital market behaviour if its basic assumptions are respected. There are two main problems. The first one is that some of the basic assumptions are very far from conditions of reality.
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The Capital Asset Pricing Model (CAPM) is the most well-known equilibrium model in the capital market. The standard form of CAPM provides a clear description of capital market behaviour if its basic assumptions are respected. There are two main problems. The first one is that some of the basic assumptions are very far from conditions of reality.
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The Capital Asset Pricing Model
2016How can we measure the performance of mutual funds and their investment risk? What is the use of a market index such as S&P 500? The portfolio theory can provide us with the answers. This chapter presents the Capital Asset Pricing Model (CAPM) , which deals with an efficient portfolio management. For a historical introduction see [4].
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The Capital Asset Pricing Model
1977With the growth in empirical studies into share price behaviour there has also been a concomitant search for an underlying theory which specifies the expected returns from individual securities. The outcome of this search has been the widespread acceptance of the capital asset pricing model (C.A.P.M.). The C.A.P.M.
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The capital asset pricing model
1983We saw, towards the end of Chapter 7, that finding an optimal portfolio using portfolio theory requires a computer program and a rather large variance—covariance matrix. This has hindered general acceptance of portfolio theory, despite its usefulness.
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Zbornik radova (Sveučilište u Rijeci. Ekonomski fakultet Rijeka), 1995
Model za utvrđivanje vrijednosti kapitala je jedan od najpoznatijih modela koji se koristi prilikom donošenja investicijskih odluka u koje dionice treba ulagati. On se temelji na postavkama moderne portfolio teorije, dakle na kategorijama tzv. očekivane stope prihoda i rizika, te omogućuje ulagačima da na jednostavniji način utvrde optimalne portfelje,
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Model za utvrđivanje vrijednosti kapitala je jedan od najpoznatijih modela koji se koristi prilikom donošenja investicijskih odluka u koje dionice treba ulagati. On se temelji na postavkama moderne portfolio teorije, dakle na kategorijama tzv. očekivane stope prihoda i rizika, te omogućuje ulagačima da na jednostavniji način utvrde optimalne portfelje,
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