haku: @indexterm decision theory / yhteensä: 322
viite: 24 / 322
Tekijä: | Pedersen, C. |
Otsikko: | Separating risk and return in the CAPM: a general utility-based model |
Lehti: | European Journal of Operational Research
2000 : JUN 16, VOL. 123:3, p. 628-639 |
Asiasana: | FINANCE DECISION THEORY RISK |
Kieli: | eng |
Tiivistelmä: | 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. |
SCIMA