The purpose of this paper is to build an asset pricing model for emerging markets using higher moments. It is well-known that conventional CAPM models fail to explain the risk present in the data. The contribution of this paper is to use an extended CAPM that explicitly involves measures of...

In this paper the integrated risk measure of Damant and Satchell (1996) is used to formulate an investor's utility function and the properties of this function are investigated. The authors calibrate their utility function for a typical UK investor who would hold different proportions of equity....