CAPM, rewards, and empirical asset pricing with coherent risk
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Publication:6477115
arXivmath/0605065MaRDI QIDQ6477115FDOQ6477115
Authors: A. S. Cherny, Dilip B. Madan 
Publication date: 2 May 2006
Abstract: The paper has 2 main goals: 1. We propose a variant of the CAPM based on coherent risk. 2. In addition to the real-world measure and the risk-neutral measure, we propose the third one: the extreme measure. The introduction of this measure provides a powerful tool for investigating the relation between the first two measures. In particular, this gives us - a new way of measuring reward; - a new approach to the empirical asset pricing.
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