PENGUKURAN KINERJA PORTOFOLIO OPTIMAL SAHAM LQ45 MENGGUNAKAN METODE CAPITAL ASSET PRICING MODEL (CAPM) DAN LIQUIDITY ADJUSTED CAPITAL ASSET PRICING MODEL (LCAPM)
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)...
متن کاملX-CAPM: An extrapolative capital asset pricing model
Survey evidence suggests that many investors form beliefs about future stock market returns by extrapolating past returns. Such beliefs are hard to reconcile with existing models of the aggregate stock market. We study a consumption-based asset pricing model in which some investors form beliefs about future price changes in the stock market by extrapolating past price changes, while other inves...
متن کاملThe Consumption - Based Capital Asset Pricing Model
Arrow-Debreu Existence Result Let K be a normed vector lattice with positive cone K+ (see Schaefer (1974)). We consider an Arrow-Debreu (pure exchange) economy 9'= (?, e') in K, with m agents described by preference relations > i on K+ and initial endowments e' E K+. Throughout, we make the usual assumptions on preferences: each >i is reflexive, transitive, complete, convex, continuous, and str...
متن کاملAn Intertemporal Capital Asset Pricing Model
Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at http://www.jstor.org/page/info/about/policies/terms.jsp. JSTOR's Terms and Conditions of Use provides, in part, that unless you have obtained prior permission, you may not download an entire issue of a journal or multiple copies of articles, and you may use content in the JSTOR archive o...
متن کاملA Two State Capital Asset Pricing Model
A famous model in nancial theory is the Capital Asset Pricing Model (CAPM). In this paper we propose a two state CAPM in which we assume that excess returns for the market and for a particular security are bivariate normally distributed. The parameters of the distribution are determined by the state of an unobserved stationary Markov chain. Two states represent two business regimes that are cha...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Jurnal Gaussian
سال: 2021
ISSN: 2339-2541
DOI: 10.14710/j.gauss.v10i2.29414