RISK UNDERESTIMATION AS A CONSEQUENCE OF ASSUMPTIONS MADE IN VALUATION MODELS

The first part of the paper concentrates on the analysis of common risk models assumptions that are not fulfi lled in practice. The most vital assumptions of the modern portfolio theory are discussed here and compared with reality to show that they do not come up to practice. The aim of the second part are empirical tests of some of these simplifi cations to justify opinions made in the previous section.

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Year of publication:	2013
Authors:	Pruchnicka-Grabias, Izabela
Published in:	Interdisciplinary Management Research. - Ekonomski Fakultet. - Vol. 9.2013, p. 513-526
Publisher:	Ekonomski Fakultet
Subject:	portfolio theory \| risk

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Extent:	application/pdf
Type of publication:	Article
Classification:	D81 - Criteria for Decision-Making under Risk and Uncertainty ; G11 - Portfolio Choice
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010717525