Robustness of the market model

DOI10.1007/BF01212923zbMATH Open0808.90055MaRDI QIDQ1338992FDOQ1338992

Authors: Lars Tyge Nielsen 

Publication date: 27 November 1994

Published in: Economic Theory (Search for Journal in Brave)

Recommendations

• A simple robust asset pricing model under statistical ambiguity
• On the sensitivity of the black capital asset pricing model to the market portfolio
• A nonparametric approach to measuring the sensitivity of an asset's return to the market
• Market demand functions in the capital asset pricing model
• CAPM, RISK AND PORTFOLIO SELECTION IN "α-STABLE MARKETS"

zbMATH Keywords

random vector of returns on risky assets

Mathematics Subject Classification ID

Mathematical economics (91B99)

Cites Work

• Mutual fund separation in financial theory - the separating distributions
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• A characterization of the distributions that imply mean-variance utility functions
• A unified beta pricing theory
• Title not available (Why is that?)
• On the linearity of regression

Cited In (3)

• On the sensitivity of the black capital asset pricing model to the market portfolio
• Reexamining the robustness of the market value of equity
• A nonparametric approach to measuring the sensitivity of an asset's return to the market

This page was built for publication: Robustness of the market model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1338992)