An investigation of a portfolio-loss under the CAPM

V. Reznik and U. Spreitzer

Finance from University Library of Munich, Germany

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)
Pages: 8 pages
Date: 2004-02-12
New Economics Papers: this item is included in nep-cfn and nep-fin
Note: Type of Document - pdf; prepared on win98; pages: 8;
References: Add references at CitEc
Citations:

Downloads: (external link)
https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/0402/0402013.pdf (application/pdf)

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:wpa:wuwpfi:0402013

Access Statistics for this paper

More papers in Finance from University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ( this e-mail address is bad, please contact ).