A Model of Asset Pricing and Portfolio Allocation

Michael Dempsey

Chapter 9 in Stock Markets, Investments and Corporate Behavior:A Conceptual Framework of Understanding, 2015, pp 155-174 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:IntroductionA Generalized Utility FunctionPortfolio OptimizationThe CAPMRepeated Investment PeriodsA Worked ExampleInvestors Risk Aversion and Required Equity ReturnThe CMLThe CAPM and Roll's CritiqueCan We Retain Log-Wealth Utility?Generalization of the Equations of Portfolio ChoiceTime to Reflect: What Have We Learned?

Keywords: Stock Markets; Investments; Corporate Finance; Mathematical Finance (search for similar items in EconPapers)
Date: 2015
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