Since the development of modern portfolio theory (MPT) in the late 1950s and early 1960s, academics have offered numerous competing theories. MPT's simplicity is appealing: The expected return on an asset is simply a function of the return of the market portfolio and the asset's beta to the...

CAPM came under a lot of scrutiny and attack as its simplicity also led to extensive testing which did not bear out the conclusions. This paper seeks to re-think CAPM in light of the broader trend in the institutional world to implement Liability Driven Investments (LDI) to see if this can help...

The Capital Asset Pricing Model (CAPM) has been the backbone of asset market finance, even though many academic studies have revealed its limitations, both theoretical and empirical. This paper argues that including liability or benchmark considerations in investment decisions may provide a...

The Capital Asset Pricing Model (CAPM) has been the backbone of asset market finance even though many academic studies have revealed its limitations, both theoretical and empirical. This paper argues that including liability or benchmark considerations in investment decisions may provide a...

This paper proposes a price model for financial assets using the supply-demand relationship, referred to as a supply and demand based price (SDP) model for financial assets. The model demonstrates that stock price volatility is characterized by the downward sloping demand curve and volume...