Publication: CAPM and APT like models with risk measures
Loading...
Identifiers
Publication date
2009-06
Defense date
Advisors
Tutors
Journal Title
Journal ISSN
Volume Title
Publisher
Department of Mathematics and Statistics, Concordia University
Impact
Export
Abstract
The paper deals with optimal portfolio choice problems when risk levels are given
by coherent risk measures, expectation bounded risk measures or general deviations.
Both static and dynamic pricing models may be involved.
Unbounded problems are characterized by new notions such as compatibility and
strong compatibility between pricing rules and risk measures. Surprisingly, it is
pointed out that the lack of bounded optimal risk and/or return levels arises in practice
for very important pricing models (for instance, the Black and Scholes model)
and risk measures (V aR, CV aR, absolute deviation and downside semi-deviation,
etc.).
Bounded problems will present a Market Price of Risk and generate a pair of
benchmarks. From these benchmarks we will introduce APT and CAPM like analyses,
in the sense that the level of correlation between every available security and some economic factors will expalin the security expected return. On the contray,
the risk level non correlated with these factors will have no influence on any return,
despite we are dealing with very general risk functions that are beyond the standard
deviation.
Description
Keywords
Risk measure, Compatibility between prices and risks, Efficient portfolio, APT and CAPM like models