Black–Litterman Portfolio Optimization with Dynamic CAPM via ABC-MCMC
MathematicsThe present research proposes a methodology for portfolio construction that integrates the Black–Litterman model with expected returns generated through simulations under dynamic Capital Asset Pricing Model (CAPM) with conditional betas, estimated via ...
Sebastián Flández +4 more
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A non-parametric test of the conditional capm for the Mexican economy
Estudios Económicos, 2006 Se han sugerido muchos modelos para describir cómo los inversionistas valúan flujos de efectivo riesgosos. El más usado es el Modelo de Valuación de Activos de Capital (CAPM por sus siglas en inglés) de Sharpe-Lintner-Black.
Jorge H . del Castillo-Spíndola
doaj
Portfolio Efficiency Tests with Conditioning Information-Comparing GMM and GEL Estimators. [PDF]
Entropy (Basel), 2022 Vigo-Pereira C, Laurini M.
europepmc +1 more source
Testing the Conditional CAPM Using Short-Window Regressions : A Critique
Asian Review of Financial Research, 2021 Using short-window regressions, prior studies have shown that the conditional CAPM performs as poorly as the unconditional CAPM and that unconditional alphas are too large to be explained by the covariance between conditional betas and market risk premium.
openaire +1 more source
Conditional autoencoder asset pricing models for the Korean stock market. [PDF]
PLoS One, 2023 Kim E, Cho T, Koo B, Kang HG.
europepmc +1 more source
Human capital-based four-factor asset pricing model: An empirical study from Pakistan. [PDF]
Heliyon, 2023 Khan N, Zada H, Ahmed S, Shah FA, Jan S.
europepmc +1 more source
Conditional CAPM Using Expected Returns of Brazilian Sustainability Companies
Theoretical Economics Letters, 2018 In the last decades, CAPM model has been of great interest in the scientific scene. Despite all the criticism, the improvement of the static CAPM, which has generated new dynamic models, provided investors with stronger guarantee through financial transactions.
openaire +2 more sources
Deciphering equity style returns: An analysis of size and value anomalies in the Pakistani stock exchange. [PDF]
Heliyon, 2023 Kashif M +3 more
europepmc +1 more source
Herding behavior and government policy responses: Evidence from COVID-19 effect. [PDF]
Heliyon, 2023 Nouri-Goushki M, Hojaji SN.
europepmc +1 more source