the Capital Asset Pricing Model (CAPM) to derive an operational criterion for the optimal risk management of firms. The …Current methods of risk management focus on efficiency and do not provide operational answers to the basic question of … how to optimise and balance the two objectives, maximisation of expected income and minimisation of risk. This paper uses …

This paper deals with the use of the CAPM for capital budgeting purposes. Four different measures are deductively drawn …

index, the estimated slope in the market model show strong switching behaviour. In these three securities the low risk state … is more persistent than the high-risk state. For each security we estimate the conditional probabilities that the … security is in the high (low) risk state given the market is in the high (low) volatility regime and show that this information …

index, the estimated slope in the market model show strong switching behaviour. In these three securities the low risk state … is more persistent than the high-risk state. For each security we estimate the conditional probabilities that the … security is in the high (low) risk state given the market is in the high (low) volatility regime and show that this information …

-variance efficient in the sense of classical CAPM. We show that, depending on the noise traders' behavior, the performance of efficient …

The aim of this paper is to test the performance of the standard version of CAPM in an evolutionary framework. We … ask what is the fate of those who happen to behave as prescribed by CAPM. In a complete securities market with aggregate … uncertainty, it is shown that traders who either believe' in CAPM and use it as a rule of thumb, or are endowed with genuine mean …

Se han analizado 6 grupos de variables en un intento de explicar el retorno futuro de las acciones utilizando el CAPM … permite sostener la tesis central del CAPM. Ninguna de las betas de 6 grupos de variables es capaz de discriminar …

measure of risk aversion derived from the CAPM � a model that does not require those restrictive assumptions � we find … approximate the risk aversion parameter of a CAPM. This occurs if the ratio between the variance of the returns on assets and the …This paper analyzes the Risk Appetite Index (RAI), a measure of investors� risk aversion proposed by Kumar and …

This paper shows that a decision maker using the CAPM for valuing firms and making decisions may contradict Modigliani … and Miller’s Proposition I, if he adopts the widely-accepted disequilibrium NPV. As a consequence, CAPM-minded agents … disequilibrium NPV for decision-making is deductively drawn from the CAPM, its use for both valuation and decision should be rejected. …

This article examines whether the overall market risk, along with risks reflecting uncertainty related to the longâ … the coefficient of relative risk aversion. Despite the relative importance of market discount–rate risk, it is market … dividend–growth risk that turns out to be far more significant in determining average returns on Greek portfolios. …