Separating risk and return in the CAPM: A general utility-based model

DOI10.1016/S0377-2217(99)00114-9MaRDI QIDQ1572987zbMATH OpenFDO

Authors Christian S. Pedersen

Publication date 6 August 2000

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0377-2217(99)00114-9

zbMATH Keywords

capital asset pricing modeldecision theoryfinancerisk-return separationtrade-offsutility function

Mathematics Subject Classification ID

Recommendations

• Risk, Return, and Utility
• Capital asset pricing model under distribution uncertainty
• An inter-temporal CAPM based on first order stochastic dominance
• New aspects of risk aversion some applications in portfolio theory
• A class of non-expected utility risk measures and implications for asset allocations

Cites work

• A Standard Measure of Risk and Risk-Value Models
• An axiomatic theory of conjoint, expected risk
• Community Preferences and the Representative Consumer
• Foundations of risk measurement. II. Effects of gains on risk
• scientific article; zbMATH DE number 41105 (Why is no real title available?)
• scientific article; zbMATH DE number 3323651 (Why is no real title available?)
• Mutual fund separation in financial theory - the separating distributions
• One-Switch Utility Functions and a Measure of Risk
• Relative risk-value models
• Risk, Return, and Utility
• Risk-value models

Cited in

(5)

• On CAPM and Black-Scholes differing risk-return strategies
• Exhibiting abnormal returns under a risk averse strategy
• A Chance‐constraint Programming Approach to the Capital Pricing Model
• Risk and Return: An Experimental Analysis
• Beyond CAPM: estimating the cost of equity considering idiosyncratic risks

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