Capital Asset Pricing Model (CAPM) Study in Mean-Gini Model
نویسندگان
چکیده
منابع مشابه
Capital Asset Pricing Model (CAPM) with drawdown measure
The notion of drawdown is central to active portfolio management. Conditional Drawdown-at-Risk (CDaR) is defined as the average of a specified percentage of the largest drawdowns over an investment horizon and includes maximum and average drawdowns as particular cases. The necessary optimality conditions for a portfolio optimization problem with CDaR yield the capital asset pricing model (CAPM)...
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ژورنال
عنوان ژورنال: International Journal of Applied Economics, Finance and Accounting
سال: 2020
ISSN: 2577-767X
DOI: 10.33094/8.2017.2020.62.57.63