Results 21 to 30 of about 44,329 (240)

FORMATION OF THE INVESTMENT PORTFOLIO ON THE BASIS OF THE CAPM

Вестник Северо-Кавказского федерального университета, 2022
The article describes a popular model for evaluating capital assets CAPM. Studied the method offorming an efficient investment portfolio, using this model. Unlike investigated by the CAPM model, the index W. Sharpe. The basic principles for the selection
Yulia Konopleva
doaj  

SCAPM (Shariah Compliant Asset Pricing Model); the Formula of Risk and Return Modification in Islamic Finance

Al-tijary, 2018
As an Islamic financial institutions into the capital market for investment, the guidance in the areas of risk and return and security prices under Shari'a framework necessary.
Shofia Mauizotun Hasanah, Ima Maspupah
doaj   +1 more source

PENENTUAN KEPUTUSAN INVESTASI SAHAM MENGGUNAKAN CAPITAL ASSET PRICING MODEL (CAPM) DENGAN PENAKSIR PARAMETER STOKASTIK

E-Jurnal Matematika, 2021
CAPM is a method of determining efficient or inefficient stocks based on the differences between individual returns and expected returns based on the CAPM’s positive value for efficient and negative value for inefficient stocks.
ICHA WINDA DIAN SAFIRA, KOMANG DHARMAWAN, DESAK PUTU EKA NILAKUSMAWATI   +2 more
doaj   +1 more source

An Extension of the Consumption-Based CAPM Model [PDF]

SSRN Electronic Journal, 2012
This paper proposes to extend the consumption-based capital asset pricing model (C-CAPM). We use the concept of expectation dependence and show that first-degree expectation dependence (FED) determines the C-CAPM's riskiness. We extend the assumption of risk aversion to prudence and propose a measure of second-degree expectation dependence (SED) to ...
Georges Dionne, Jingyuan Li, Cedric Okou
openaire   +2 more sources

Forecasting Returns with a Hybrid Model: Neural Network Autoregressive Market Predictions and CAPM for Asset Valuation [PDF]

Mathematics and Modeling in Finance
‎Accurate forecasting of asset returns is essential for informed investment decisions and effective portfolio management‎. ‎This paper explores a hybrid model that combines the Capital Asset Pricing Model (CAPM) with Neural Network Autoregressive (NNAR ...
Mohammad Zare
doaj   +1 more source

Portfolio selection in euro area with CAPM and Lower Partial Moments models [PDF]

, 2020
This article selects portfolios using estimates given by CAPM and three Lower Partial Moments models (LPM). The CAPM assumption about investors’ behaviour towards risk is that they are equally concerned with upside and downside risk.
Fonseca, José Soares da
core   +1 more source

Explanation of Capital Asset pricing: Comparison between Models [PDF]

بررسی‌های حسابداری و حسابرسی, 2010
In this paper, we will intend to introduce a new model of capital asset pricing model which is called Revised Capital Asset Pricing Model. First we calculate degree of economic leverage. We investigate five economical variables (Inflation rate, financial
Fraydon Rahnamay Roodposhti, Zahra Amirhosseini   +1 more
doaj  

Testing the Traditional CAPM and MCAPM on Tehran Stock Exchange

Journal of Applied Research on Industrial Engineering, 2017
The purpose of this paper is to empirically test and evaluate the possibility of using the traditional Capital Asset Pricing Model (CAPM) and the Modified Capital Asset Pricing Model (MCAPM) in the Tehran Stock Exchange. Traditional CAPM by Sharpe-Linter
Ebrahim Abbasi , Meysam Kaviani, Ebrahim Farbod   +2 more
doaj   +1 more source

An Advanced Time-Varying Capital Asset Pricing Model via Heterogeneous Autoregressive Framework: Evidence from the Chinese Stock Market

Mathematics
The capital asset pricing model (CAPM) is a foundational asset pricing model that is widely applied and holds particular significance in the globally influential Chinese stock market. This study focuses on the banking sector, enhancing the performance of
Bohan Zhao, Hong Yin, Yonghong Long
doaj   +1 more source