Bedoui, Rihab; BenMabrouk, Houda - In: Cogent Economics & Finance 5 (2017) 1, pp. 1-21
This paper presents an extension of the Capital Assets Pricing Model (hereafter CAPM) where various utility functions are applied. Specifically, we propose an overall CAPM beta that accounts for the higher order moments and reflects the investor preferences and attitudes toward risk. We...
