A Portfolio Selection and Capital Asset Pricing Model

Topics:
Investment and Capital Markets
Tags:
Capital Asset Pricing Model,
Capital Market,
CAPM,
Finance,
Financial Services,
Investment,
Università Carlo Cattaneo
Source:
Università Carlo Cattaneo

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Overview: The aim of this paper is to improve the characterization of a capital market within the CAPM without losing its simplicity and explanatory power. To highlight the peculiarities of the model, the main steps in the development of the standard CAPM are briefly reviewed. The standard CAPM is extended so as to supply the price of each capital asset and explain the risk premium offered by the market as a whole. The resulting CAPM can be used to perform a "what if" analysis and compare different capital market equilibria reflecting different values of the risk free interest rate and the price of risk.

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Format: PDF | Size: 52KB | Date: Feb 2002 | Pages: 15

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