CAPM, rewards, and empirical asset pricing with coherent risk

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dc.creatorCherny, Alexander S.
dc.creatorMadan, Dilip B.
dc.date2006-05-02
dc.date.accessioned2026-07-07T12:11:17Z
dc.date.available2026-07-07T12:11:17Z
dc.descriptionThe 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.
dc.identifierhttps://arxiv.org/abs/math/0605065
dc.identifierhttp://arxiv.org/abs/math/0605065
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210174
dc.subjectProbability
dc.subjectPricing of Securities
dc.subjectRisk Management
dc.subject91B28; 91B30, 91B50
dc.titleCAPM, rewards, and empirical asset pricing with coherent risk
dc.typetext

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