Der Vortrag „Nonstandard Forms of Capital Asset Pricing Models“ von Edu Pristine ist Bestandteil des Kurses „Archiv - Foundation of Risk Management“. Der Vortrag ist dabei in folgende Kapitel unterteilt:
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... variance among all possible portfolios on the portfolio possibilities curve is known as the minimum variance portfolio. ...
... Zero Correlation - Correlation between two assets is ...
... Short Sales and Efficient Frontiers. When short sales are allowed shape of efficient ...
... particular portfolio represents all possible combinations of the market portfolio (P) and risk free asset ...
... hold the market portfolio in equilibrium and in this situation no investor will sell the security short Riskless Lending and Borrowing CAPM assumes that investors can borrow and lend unlimited amounts at risk free rate. Case 1 No risk free rate is available. In this case a zero beta portfolio is used in ...
... the zero beta portfolio have a required return given on the line rzTM ...
... ignores personal taxes. The model is assumes that the investor is indifferent towards receiving income from capital gains or dividends. This assumption is not very realistic. Investors judge the performance of ...
... selling them might involve huge transaction cost and there are certain non financial factors also which might affect the marketability of the asset. To relax this ...
... that all the investors have homogenous expectations. In reality, each investor has different expectations. Investors have different utility functions. It ...
... are few large investors which are price affecters. Price affecter's actions increase utility. The end ...
... at one point in time. However in reality, the investment decisions are spread over the lifetime of the investor. Many assumptions that are true for single ...
... is a single consumption good. There is a capital market to allow investors to reach a consumption pattern that they cannot afford by additional trades ...
... including Inflation. CAPM including inflation looks similar to the CAPM in simple form. Market risk ...
... the product of new beta or sensitivity to the new risk factor and the price of that risk factor. Multiple risk ...
... a corporate Governance Perspective. Information Risk and Data Quality. GARP Code ...