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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.

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