Brennan, Michael J. (contributor); … - 2002 - [Elektronische Ressource]
ratio, as in the classic Sharpe-Lintner
Capital Asset Pricing Model. The slope of the capital market line depends in turn on … these hedge
portfolio returns, if risk premia are determined by a Merton (1973) type Intertemporal
Capital Asset Pricing … Model (ICAPM). We also estimate the model by applying a Kalman
filter to the yields of pure discount Treasury bonds and find …