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"Capital assets pricing model"
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Asset pricing theory
\"Asset Pricing Theory is an advanced textbook for doctoral students and researchers that offers a modern introduction to the theoretical and methodological foundations of competitive asset pricing.\" \"Costis Skiadas develops in depth the fundamentals of arbitrage pricing, mean-variance analysis, equilibrium pricing, and optimal consumption/portfolio choice in discrete settings, but with emphasis on geometric and martingale methods that facilitate an effortless transition to the more advanced continuous-time theory.\" \"Asset Pricing Theory is complete with extensive exercises at the end of every chapter and comprehensive mathematical appendixes, making this book a self-contained resource for graduate students and academic researchers, as well as mathematically sophisticated practitioners seeking a deeper understanding of concepts and methods on which practical models are built.\"--BOOK JACKET.
Book
On Intensively Criticizing and Envisioning the Research on Multiple-Objective Portfolio Selection from the Perspective of Capital Asset Pricing Models
Nobel Laureate Markowitz originates portfolio selection as the birth of modern finance. Nobel Laureate Sharpe implements portfolio selection and originates capital asset pricing models. Nobel Laureate Fama also implements portfolio selection and originates zero-covariance capital asset pricing models. After these feats, researchers have gradually realized additional objectives and have promisingly extended portfolio selection into multiple-objective portfolio selection. However, there hardly exists research to leap from multiple-objective portfolio selection to multiple-objective capital asset pricing models (as initiated by Markowitz and Sharpe in finance). Moreover, the extension is basically confined to the branches of mathematics, operations research, optimization, and computer sciences. Many researchers sufficiently review multiple-objective portfolio selection. However, the reviews are extensive. Instead, we intensively criticize and envision the research on multiple-objective portfolio selection from the perspective of capital asset pricing models by crystallizing the research limitations and heralding future directions. Specifically, we emphasize seven research limitations for multiple-objective portfolio optimization, multiple-objective capital asset pricing models, and multiple-objective zero-covariance capital asset pricing models. We also generalize from common three-objective portfolio selection to k-objective portfolio selection. Visually, we orchestrate figures to delineate the complexity. Theoretically, this paper heralds challenging but encouraging future directions. Pragmatically, this paper proposes a formulation for the multiple-objective nature of practical convolution in finance.
Journal Article
A Behavioral Approach to Asset Pricing
A Behavioral Approach to Asset Pricing Theory examines the reigning assumptions of asset pricing theory and reconstructs them to incorporate findings from behavioral finance. It constructs a solid, intact structure that challenges classic assumptions and at the same time provides a strong theory and efficient empirical tools. Building on the models developed by both traditional asset pricing theorists and behavioral asset pricing theorists, this book takes the discussion to the next step. The author provides a general behaviorally based intertemporal treatment of asset pricing theory that extends to the discussion of derivatives, fixed income securities, mean-variance efficient portfolios, and the market portfolio.The book develops a series of examples to illustrate the theoretical results. The CD-ROM contains most of the examples, worked out as Excel spreadsheets, so that a diligent reader can follow them through.Instructors might also want to use the examples to assign class exercises, asking students to modify the numbers and see what happens.
eBook
On Devising Carbon Offset Investments by Multiple-Objective Portfolio Selection and Exploring Multiple-Objective Capital Asset Pricing Models
Humans face environmental deterioration. Scholars have identified carbon dioxide as one of the culprits, and they emphasize carbon offset. Researchers are investigating carbon offset investments. Some researchers have encouragingly deployed multivariate variational mode decomposition methods, but they have not fully optimized them. Some researchers have opportunely assessed capital asset pricing models, but they have not fully justified them. We devise multiple-objective portfolio selection models, fully optimize them, and dominate carbon offset indexes. We extend the classical methodology of advancing from portfolio selection to capital asset pricing models into the methodology of advancing from multiple-objective portfolio selection to multiple-objective capital asset pricing models. Specifically, we explore multiple-objective capital asset pricing models by numerically verifying many tangent lines (instead of the traditionally singular tangent line) and suggesting a tangent plane (instead of tangent lines). For multiple-objective zero-covariance capital asset pricing models, we numerically compute a set of zero-covariance portfolios (instead of the traditionally singular zero-covariance portfolio) and suggest picking an advantageous zero-covariance portfolio. We consider the second-level indicators of carbon offset and generalize three-objective portfolio selection to k-objective portfolio selection. As for contributions, first, this paper’s methodology is to logically advance from multiple-objective portfolio selection to multiple-objective capital asset pricing models, whereas the literature typically covers multiple-objective portfolio selection alone and barely covers multiple-objective capital asset pricing models. Second, this paper numerically demonstrates some difficulties and proposes hypothetical solutions in the process of obtaining multiple-objective capital asset pricing models.
Journal Article
Credit securitisations and derivatives
A comprehensive resource providing extensive coverage of the state of the art in credit secruritisations, derivatives, and risk management Credit Securitisations and Derivatives is a one-stop resource presenting the very latest thinking and developments in the field of credit risk. Written by leading thinkers from academia, the industry, and the regulatory environment, the book tackles areas such as business cycles; correlation modelling and interactions between financial markets, institutions, and instruments in relation to securitisations and credit derivatives; credit portfolio risk; credit portfolio risk tranching; credit ratings for securitisations; counterparty credit risk and clearing of derivatives contracts and liquidity risk. As well as a thorough analysis of the existing models used in the industry, the book will also draw on real life cases to illustrate model performance under different parameters and the impact that using the wrong risk measures can have.
eBook
Financial Asset Pricing
Intro -- FINANCIAL ASSET PRICING: THEORY, GLOBAL POLICY AND DYNAMICS -- FINANCIAL ASSET PRICING: THEORY, GLOBAL POLICY AND DYNAMICS -- LIBRARY OF CONGRESS CATALOGING-IN-PUBLICATION DATA -- CONTENTS -- PREFACE -- Chapter 1: MONETARY POLICY AND BOOM-BUST CYCLES IN ASSET PRICES: A LITERATURE SURVEY -- ABSTRACT -- 1. INTRODUCTION -- 2. SHOULD ASSET PRICES BE INCLUDED IN THE OBJECTIVE FUNCTION? -- 2.1 Asset Prices and the Inflation Measure -- 2.2 Financial Stability and the Objective Function -- 2.3. Monetary Policy and Asset Prices: The Classic Discussion and the Middle Ground -- 3. RECENT DEVELOPMENTS -- CONCLUSION -- REFERENCES -- Chapter 2: DYNAMIC MIGRATION BETWEEN STOCK PORTFOLIOS BASED ON DIVIDEND YIELD AND FIRM SIZE -- ABSTRACT -- 1. INTRODUCTION -- 2. DATA AND METHODOLOGY -- 3. INITIAL RESULTS FOR RAW RETURNS -- 3.1. Adjustment for Risk -- 4. THE MIGRATION STUDY (METHODOLOGY) -- 4.1. Data -- 4.2. Analysis of Results (Presented in Table 7 (a-f)) -- 4.3. Expanding versus Contracting Companies -- 5. LONG-RUN EQUILIBRIUM AND SPEED OF ADJUSTMENT -- 5.1. The Transition Matrix as a Markov Process -- 5.2. The Dynamics of the Process -- 6. EXTENDING THE ANALYSIS TO INCLUDE THE 'TIME' DIMENSION -- CONCLUSION -- REFERENCES -- Chapter 3: RETURN CALCULATION FOR SHORT TIME SERIES: EVIDENCE FROM EMERGING MARKET MUTUAL FUNDS -- ABSTRACT -- I. INTRODUCTION -- II. GOODNESS OF FITTING -- III. INVALIDITY OF THE ASSUMPTIONS OF STANDARD ASSET PRICING TESTS -- IV. VISUALIZING NON-NORMALITY -- CONCLUDING REMARKS -- ACKNOWLEDGMENTS -- REFERENCES -- Chapter 4: RISK PREMIUM, MARKET PRICE OF RISK, AND STOCHASTIC PRICE MODELS FOR COMMODITIES -- ABSTRACT -- 1. INTRODUCTION -- 2. REVIEW OF THE LITERATURE -- 3. STOCHASTIC PRICE MODELS -- 3.1. The Geometric Brownian Motion (GBM) Model -- 3.2. Mean-Reverting Models -- 3.3. Two-Factor Model: IGBM with Stochastic MPR.
eBook
Asset pricing
Modern asset pricing models play a central role in finance and economic theory and applications. This book introduces a structural theory to evaluate these asset pricing models and throws light on the existence of Equity Premium Puzzle. Based on the structural theory, some algebraic (valuation-preserving) operations are developed in asset spaces and pricing kernel spaces.
eBook