Exhibiting abnormal returns under a risk averse strategy (Q2282734)

The authors consider investment strategies that combine asset pricing models and coherent risk measures. It is shown that simply by managing a portfolio of assets, an investor can achieve risk that converges to \(-\infty\) and returns that converge to \(+\infty\). \newline An evidence is provided that arise from the CAPM model, in regard to the efficient market hypothesis. The results suggest that an investor can exhibit returns that outperform the market index by managing a portfolio less volatile than the market.