Current Search: Capital asset pricing model (x)
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Title
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THE CAPITAL ASSET PRICING MODEL.
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Creator
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Ayala, Mary D., Florida Atlantic University, Stronge, William B., College of Business, Department of Economics
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Abstract/Description
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This thesis reviews the majot' literature associated with the Capital Asset Pricing Model with emphasis on related controversial issues. The model's underlying theories, developed by Harry Markowitz and James Tobin, are presented first. This is followed by themathematicalderivation, developed by William Sharpe. Special attention is given to the controversial assumptions imposea by Markowitz and Tobin, which emerge in the CAPM. Major tests of the CAPM are reviewed next: and the empirical...
Show moreThis thesis reviews the majot' literature associated with the Capital Asset Pricing Model with emphasis on related controversial issues. The model's underlying theories, developed by Harry Markowitz and James Tobin, are presented first. This is followed by themathematicalderivation, developed by William Sharpe. Special attention is given to the controversial assumptions imposea by Markowitz and Tobin, which emerge in the CAPM. Major tests of the CAPM are reviewed next: and the empirical problems associated with test design are highlighted. It is shown that variations in test design produce controversial test results. The specific tests reviewed here fail to provide strong support for the nodel; nevertheless it becomes evident that such tests fostered a vast outpouring of new and extended models. The CAPM remains a breakthrough in financial and economic literature which deserves to be explored even more intensely in the future.
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Date Issued
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1981
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PURL
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http://purl.flvc.org/fcla/dt/14067
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Subject Headings
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Capital assets pricing model
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Format
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Document (PDF)
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Title
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Asymmetric information in fads models in Lâevy markets.
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Creator
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Buckley, Winston S., Florida Atlantic University, Charles E. Schmidt College of Science, Department of Mathematical Sciences
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Abstract/Description
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Fads models for stocks under asymmetric information in a purely continuous(GBM) market were first studied by P. Guasoni (2006), where optimal portfolios and maximum expected logarithmic utilities, including asymptotic utilities for the informed and uninformed investors, were presented. We generalized this theory to Lâevy markets, where stock prices and the process modeling the fads are allowed to include a jump component, in addition to the usual continuous component. We employ the methods of...
Show moreFads models for stocks under asymmetric information in a purely continuous(GBM) market were first studied by P. Guasoni (2006), where optimal portfolios and maximum expected logarithmic utilities, including asymptotic utilities for the informed and uninformed investors, were presented. We generalized this theory to Lâevy markets, where stock prices and the process modeling the fads are allowed to include a jump component, in addition to the usual continuous component. We employ the methods of stochastic calculus and optimization to obtain analogous results to those obtained in the purely continuous market. We approximate optimal portfolios and utilities using the instantaneous centralized and quasi-centralized moments of the stocks percentage returns. We also link the random portfolios of the investors, under asymmetric information to the purely deterministic optimal portfolio, under symmetric information.
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Date Issued
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2009
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PURL
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http://purl.flvc.org/FAU/3337187
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Subject Headings
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Investments, Mathematical models, Capital market, Mathematical models, Finance, Mathematical models, Information theory in economics, Capital asset pricing model, Lâevy processes
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Format
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Document (PDF)
