A Chance‐constraint Programming Approach to the Capital Pricing Model

DOI10.1108/EB005898MaRDI QIDQ3986379zbMATH OpenOpenAlexFDO

Authors Ralf Östermark

Publication date 27 June 1992

Published in Kybernetes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1108/eb005898

zbMATH Keywords

beta-risk premiumcapital asset pricing

Mathematics Subject Classification ID

Stochastic programming (90C15) Applications of mathematical programming (90C90) Microeconomic theory (price theory and economic markets) (91B24)

Recommendations

• Capital asset pricing model under distribution uncertainty
• scientific article; zbMATH DE number 1782551
• Separating risk and return in the CAPM: A general utility-based model
• On the sensitivity of the black capital asset pricing model to the market portfolio
• Capital asset pricing model when data is skewed

Cites work

• A simple approach to arbitrage pricing theory

Cited in

(5)

• A convex combination approach for Markov switching CAPM of interval data
• Capital asset pricing model under distribution uncertainty
• A note on a mean-lower partial moment CAPM without risk-free asset
• Forecasting risk and returns: CAPM model with belief functions
• Market model, CAPM, and beta forecasting

This page was built for publication: A Chance‐constraint Programming Approach to the Capital Pricing Model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3986379)