Эксоцман
на главную поиск contacts

CAPM-Like Model And the Special Form of the Utility Function

Опубликовано на портале: 22-05-2012
Юрий Яковлевич Дранев
Корпоративные финансы. 2012.  № 1 (21). С. 33-36. 

The variance and semivariance are traditional measures of asset returns volatility since Markowitz proposed the market portfolio theory. Well known models for expected asset returns were developed under assumptions of mean-variance or mean-semivariance investor’s behavior. But numerous papers provided arguments against these models because of unrealistic assumptions and controversial empiric evidence. More complicated models with downside risk measures experienced difficulties with applications. The new model based on the special form of the investor’s utility function is proposed in this paper.

PDF Document
сохранить
[189 КБ]
BiBTeX
RIS
Ключевые слова

См. также:
Lubos Pastor, Robert F. Stambaugh
Journal of Financial Economics. 2002.  Vol. 63. No. 3. P. 351-380. 
[Статья]
John H. Cochrane
[Книга]
John Y. Campbell
Journal of Finance. 2000.  Vol. 55. No. 4. P. 1515-1567. 
[Статья]
Athanasios Geromichalos, Juan Manuel Licari, José Suárez-Lledó
Review of Economic Dynamics. 2007.  Vol. 10. No. 4. P. 761-779. 
[Статья]
Andrew B. Abel
American Economic Review. 1990.  Vol. 80. No. 2. P. 38-42. 
[Статья]
Matthey Higgins, Carol Osler
Oxford Review of Economic Policy. 1997.  Vol. 13. No. 3. P. 110-134. 
[Статья]
John Y. Campbell, John H. Cochrane
Journal of Political Economy. 1999.  Vol. 107. No. 2. P. 205-251. 
[Статья]