A Chance‐constraint Programming Approach to the Capital Pricing Model

DOI10.1108/eb005898zbMath0737.90003MaRDI QIDQ3986379

Ralf Oestermark

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

capital asset pricing; beta-risk premium

Mathematics Subject Classification ID

90C90: Applications of mathematical programming

90C15: Stochastic programming

91B24: Microeconomic theory (price theory and economic markets)

Cites Work

• A simple approach to arbitrage pricing theory