CAPM, rewards, and empirical asset pricing with coherent risk

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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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Probability, Pricing of Securities, Risk Management, 91B28; 91B30, 91B50

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http://salesiana.dossiersoluciones.com/handle/123456789/210174

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0605065
 http://arxiv.org/abs/math/0605065

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arXiv