Browsing Discussion papers (FOR) by Author "Ekern, Steinar"
Now showing items 1-4 of 4
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Annuity factors, duration and convexity : insights from a financial engineering perspective
Ekern, Steinar (Discussion paper, Working paper, 1998-12)This paper applies a unified and integrative financial engineering perspective to key derived concepts in traditional fixed income analysis, with the purpose of enhancing conceptual insights and motivating computational ... -
An arbitrary benchmark CAPM : one additional frontier portfolio is sufficient
Ekern, Steinar (Discussion paper, Working paper, 2008-10)The benchmark CAPM linearly relates the expected returns on an arbitrary asset, an arbitrary benchmark portfolio, and an arbitrary MV frontier portfolio. The benchmark is not required to be on the frontier and may be ... -
A dozen consistent CAPM-related valuation models : so why use the incorrect one?
Ekern, Steinar (Discussion paper, Working paper, 2006-05)This paper focuses on applications of the CAPM in capital budgeting and in valuation of "mispriced" financial assets. Most textbooks in finance do not warn against a common pitfall in discounting expected cash flows by ... -
Simplifying and generalizing some efficient frontier and CAPM related results
Ekern, Steinar (Discussion paper;12/07, Working paper, 2007-03)This paper simplifies, generalizes, extends, surveys and unifies results related to the efficient frontier in portfolio analysis and to asset pricing formulations of the Capital Asset Pricing Model (CAPM) type. It derives ...