RT Generic
T1 CAPM and APT like models with risk measures
A1 Balbás, Alejandro
A1 Balbás, Raquel
A1 Balbás, Beatriz
A2 Department of Mathematics and Statistics, Concordia University
AB The paper deals with optimal portfolio choice problems when risk levels are givenby 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 andstrong compatibility between pricing rules and risk measures. Surprisingly, it ispointed out that the lack of bounded optimal risk and/or return levels arises in practicefor 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 ofbenchmarks. 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 standarddeviation.
PB Department of Mathematics and Statistics, Concordia University
YR 2009
FD 2009-06
LK https://hdl.handle.net/10016/18145
UL https://hdl.handle.net/10016/18145
LA eng
NO Research partially supported by “RD_Sistemas SA”, “Comunidad Autónoma de Madrid”(Spain), Grant s−0505/tic/000230, and “MEyC” (Spain), Grant SEJ2006−15401−C04
DS e-Archivo
RD 18 jul. 2024