Blar i Norges Handelshøyskole på emneord "CAPM"

Viser treff 1-6 av 6

    • 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. ...

    • Discounted cash flow and modern asset pricing methods : project selection and policy implications 

      Emhjellen, Magne; Alaouze, Chris M. (Working Paper, Working paper, 2002-06)
      We examine the differences in the net present values (NPV's) of North Sea oil projects obtained using the Weighted Average Cost of Capital (WACC) and a Modern Asset Pricing (MAP) method which involves the separate discounting ...

    • Project valuation when there are two cashflow streams 

      Emhjellen, Magne; Alaouze, Chris M. (Working Paper, Working paper, 2002-06)
      Some authors (Lewellen, 1977, Shall, 1972, Butters et al., 1987, Laughton and Jacoby, 1993, Jacoby and Laughton, 1992, Salahor, 1998) advocate the separate discounting of different cashflows when calculating net present ...

    • Risk exchange as a market or production game 

      Borglin, Anders; Flåm, Sjur Didrik (Working paper, Working paper, 2007-09)
      Risk exchange is considered here as a cooperative game with transferable utility. The set-up fits markets for insurance, securities and contingent endowments. When convoluted payoff is concave at the aggregate endowment, ...

    • 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 ...