Publication: CAPM and APT-like models with risk measures
Loading...
Identifiers
Publication date
2010-06
Defense date
Advisors
Tutors
Journal Title
Journal ISSN
Volume Title
Publisher
Elsevier
Impact
Export
Abstract
The paper deals with optimal portfolio choice problems when risk levels are given by coherent risk mea
sures, 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 (strong) compatibility
between prices and risks. Surprisingly, the lack of bounded optimal risk and/or return levels arises for
important pricing models (Black and Scholes) and risk measures (VaR, CVaR, absolute deviation, etc.).
Bounded problems present a Market Price of Risk and generate a pair of benchmarks. From these bench
marks we introduce APT and CAPM like analyses, in the sense that the level of correlation between every
available security and some economic factors explains the security expected return. The risk level non
correlated with these factors has no influence on any return, despite the fact that we are dealing with risk
functions beyond the standard deviation.
Description
Keywords
Risk measure, Compatibility between prices and risks, Efficient portfolio, APT and CAPM-like models
Bibliographic citation
Journal of Banking & Finance, 2010, v. 34, nº 6, pp. 1166-1174