RISK UNDERESTIMATION AS A CONSEQUENCE OF ASSUMPTIONS MADE IN VALUATION MODELS

Izabela Pruchnicka-Grabias ()
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Izabela Pruchnicka-Grabias: Warsaw School of Economics, Republic of Poland

Interdisciplinary Management Research, 2013, vol. 9, 513-526

Abstract: The first part of the paper concentrates on the analysis of common risk models assumptions that are not fulfi lled in practice. The most vital assumptions of the modern portfolio theory are discussed here and compared with reality to show that they do not come up to practice. The aim of the second part are empirical tests of some of these simplifi cations to justify opinions made in the previous section.

Keywords: portfolio theory; risk (search for similar items in EconPapers)
JEL-codes: D81 G11 (search for similar items in EconPapers)
Date: 2013
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