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dc.contributor.authorEkern, Steinar
dc.date.accessioned2014-12-15T12:20:43Z
dc.date.available2014-12-15T12:20:43Z
dc.date.issued2007-03
dc.identifier.issn1500-4066
dc.identifier.urihttp://hdl.handle.net/11250/227272
dc.description.abstractThis 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 the composition and properties of many central portfolios in portfolio analysis. It also discusses and provides several CAPM type formulations involving different portfolios. In particular, the tangency portfolio properties are presented in an instructive and very simple way, focusing on similarities in going from the global minimum variance portfolio via a null index portfolio whose zero beta portfolio has a zero expected return. The Non-frontier zero beta, the Null index and the Augmented frontier CAPM versions supplement standard CAPM formulations. More importantly, the GMVP and the Benchmark versions of the CAPM do not rely on any zero beta portfolio, but require two betas.nb_NO
dc.language.isoengnb_NO
dc.publisherFORnb_NO
dc.relation.ispartofseriesDiscussion paper;12/07
dc.subjectCAPM typesnb_NO
dc.subjectroll's approachnb_NO
dc.subjecttangency portfolionb_NO
dc.subjectGMVPnb_NO
dc.subjectbenchmarknb_NO
dc.titleSimplifying and generalizing some efficient frontier and CAPM related resultsnb_NO
dc.typeWorking papernb_NO


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