Author: Grauer, Robert RPublisher: Burnaby, B.C. : Department of Economics and Commerce, Simon Fraser University
ISBN:
Category :
Languages : en
Pages : 34
Book Description
A Relative Value Based Correlations Test of the Mean Variance Capital Asset Pricing Model
Author: Grauer, Robert RPublisher: Burnaby, B.C. : Department of Economics and Commerce, Simon Fraser University
ISBN:
Category :
Languages : en
Pages : 34
Book Description
The Relative Asset Pricing Model - Incorporating Liabilities and Delegation to Chief Investment Officers
Author: Arun MuralidharPublisher:
ISBN:
Category :
Languages : en
Pages : 15
Book Description
This paper makes a simple but bold argument that because mean-variance optimization (MVO) and the capital asset pricing model (CAPM) were derived from a theoretical construct rather than reality, they represent a specialized case of a more general theory. We suggest a theory based on the liability to be serviced by an investment portfolio that is managed by a delegated decision maker. From this perspective, all decisions are relative; hence we present a relative asset pricing model (RAPM) as the true starting point for asset pricing theory. RAPM accommodates the fact that real investors are concerned about the relative return of their portfolios (relative mean) and the relative risk of their portfolios (composed of two independent variables -- relative variance and correlation). Moreover, investors are concerned about their agents' skill to generate alpha. Turning off these features gives us CAPM; hence our claim that CAPM is a stylized model of a more general theory. Because current theory was derived from the assumptions that investors are concerned about their absolute wealth and that they know the return distribution, which is characterized by mean and variance, it misses an important part of real-life decision making. When investors are concerned about the relative return of their portfolios and do not know the return distribution that is generated by their agents, correlation matters in addition to mean and variance. Therefore investment decision making will occur in three-dimensional space rather than the meanvariance two-dimensional plane. A decision maker forced to choose only two of three or more independent variables would get a limited result. This is exactly what happens with investment theory. This paper provides the foundation for adding a correlation dimension. We hope that other talented academics will help develop RAPM, which will provide better recommendations for asset pricing, asset allocation, rebalancing, risk-adjusted performance calculations, and manager compensation.
A Test of the Mean-variance Capital Asset Pricing Model Via the Invariance Law
Author: Frederick ShenPublisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 120
Book Description
A Correlations Test of the Capital Asset Pricing Model
Author: Robert R. GrauerCanadiana
Author: Use of Correlation to Improve Estimates of the Mean and Variance
Author: Myron B. FieringPublisher:
ISBN:
Category : Correlation (Statistics)
Languages : en
Pages : 20
Book Description
An examination of the criteria for extending streamflow records by correlation.
The Mean Variance Capital Asset Pricing Model with Personal Taxation and Transactions Costs
Author: Robert Edward WhaleyPublisher:
ISBN:
Category : Cost
Languages : en
Pages : 294
Book Description
Empirical Asset Pricing
Author: Wayne FersonPublisher: MIT Press
ISBN: 0262039370
Category : Business & Economics
Languages : en
Pages : 497
Book Description
An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
Tests of the Capital Asset Pricing Model Focusing on Mean Variance Efficiency and the Security Market Line
Author: Grauer, Robert RPublisher: Burnaby, B.C. : Department of Economics and Commerce, Simon Fraser University
ISBN:
Category :
Languages : en
Pages : 42
Book Description
Volatility
Author: Robert A. JarrowPublisher:
ISBN:
Category : Derivative securities
Languages : en
Pages : 472
Book Description
Written by a number of authors, this text is aimed at market practitioners and applies the latest stochastic volatility research findings to the analysis of stock prices. It includes commentary and analysis based on real-life situations.