Blar i Discussion papers (FOR) på emneord "CAPM"

Viser treff 1-3 av 3

    • 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 ...

    • Competitive nash equilibria and two period fund separation 

      Hens, Thorsten; Reimann, Stefan; Vogt, Bodo (Discussion paper, Working paper, 2003-11)
      We suggest a simple asset market model in which we analyze competitive and strategic behavior simultaneously. If for competitive behavior two-fund separation holds across periods then it also holds for strategic behavior. ...

    • The equity premium in a production economy; A new perspective involving recursive utility 

      Aase, Knut K. (Discussion paper;15/15, Working paper, 2015-04-10)
      We study a rational expectations' competitive equilibrium in a production economy, i.e., a system of prices at which firms' profit maximizing production decisions and individuals' preferred affordable consumption choices ...