CAPM Continued

Igor V. Evstigneev, Thorsten Hens and Klaus Schenk-Hoppé
Additional contact information
Igor V. Evstigneev: University of Manchester
Thorsten Hens: University of Zurich

Chapter 8 in Mathematical Financial Economics, 2015, pp 61-67 from Springer

Abstract: Abstract The chapter continues the analysis of questions related to the Capital Asset Pricing Model. It introduces the notion of the security market line and explains how to interpret the CAPM as a pricing formula and as a (single) factor model. The reader will learn about systematic and specific risk and the role of portfolio diversification as a means for reducing the latter. The chapter concludes with a description of Jensen’s and Sharpe’s tests for the evaluation of portfolio performance.

Keywords: Interest Rate; Specific Risk; Risky Asset; Asset Return; Sharpe Ratio (search for similar items in EconPapers)
Date: 2015
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-319-16571-4_8

Ordering information: This item can be ordered from
http://www.springer.com/9783319165714

DOI: 10.1007/978-3-319-16571-4_8

Access Statistics for this chapter

More chapters in Springer Texts in Business and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().