search query: @indexterm DECISION THEORY / total: 322
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| Author: | Pedersen, C. |
| Title: | Separating risk and return in the CAPM: a general utility-based model |
| Journal: | European Journal of Operational Research
2000 : JUN 16, VOL. 123:3, p. 628-639 |
| Index terms: | FINANCE DECISION THEORY RISK |
| Language: | eng |
| Abstract: | The author proposes a new utility function which captures trade-offs between return and a large body of risk measures as defined by popular risk-return models in the management science literature while exhibiting desirable properties for a financial investor. This function forms the basis for an extension to the Capital Asset Pricing Model which links general asymmetric risk measures and risk-value models with equilibrium asset pricing. |
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