An investigation of a portfolio-loss under the CAPM

V. Reznik and U. Spreitzer

Finance from EconWPA

Abstract: We consider a portfolio built according to the Capital Market Line of the Capital-Asset-Pricing Model. The universe of asset classes include marketable shares and bonds only. We investigate losses that emerge when the rate of return of the portfolio is lower than that required to fulfil a defined obligation. We will classify these losses and calculate upper limits for them.

Keywords: portfolio; CAPM; loss (search for similar items in EconPapers)
JEL-codes: G (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cfn and nep-fin
Date: 2004-02-12
Note: Type of Document - pdf; prepared on win98; pages: 8;

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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpfi:0402013

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