CAPM and APT-like models with risk measures

详细信息    查看全文

• 作者：Alej ; ro Balb&#xe1 ; s ; Beatriz Balb&#xe1 ; s ; Raquel Balb&#xe1 ; s
• 关键词：Risk measure ; Compatibility between prices and risks ; Efficient portfolio ; APT and CAPM-like models
• 刊名：Journal of Banking and Finance
• 出版年：2010
• 出版时间：June 2010
• 年：2010
• 卷：34
• 期：6
• 页码：1166-1174
• 全文大小：265 K

文摘

The paper deals with optimal portfolio choice problems when risk levels are given by coherent risk measures, expectation bounded risk measures or general deviations. Both static and dynamic pricing models may be involved. Unbounded problems are characterized by new notions such as (strong) compatibility between prices and risks. Surprisingly, the lack of bounded optimal risk and/or return levels arises for important pricing models (Black and Scholes) and risk measures (VaR, CVaR, absolute deviation, etc.). Bounded problems present a Market Price of Risk and generate a pair of benchmarks. From these benchmarks we introduce APT and CAPM-like analyses, in the sense that the level of correlation between every available security and some economic factors explains the security expected return. The risk level non correlated with these factors has no influence on any return, despite the fact that we are dealing with risk functions beyond the standard deviation.