Lower Partial Moment-Capital Asset Pricing Model
Title | Lower Partial Moment-Capital Asset Pricing Model PDF eBook |
Author | Chyi Lin Lee |
Publisher | LAP Lambert Academic Publishing |
Pages | 312 |
Release | 2010 |
Genre | Capital assets pricing model |
ISBN | 9783838353227 |
The Global Financial Crisis has drawn considerable attention from practitioners in which a more accurate pricing model is required. Thus the Lower Partial Moment-Capital Asset Pricing Model (LPM- CAPM) has become increasingly accepted in recent years. This book is the first study to examine the importance of the LPM-CAPM (or downside beta) in Australian Listed Property Trusts. It is a unique and timely book by combining descriptive materials and extensive empirical evidence to demonstrate the LPM-CAPM model. Four major parts have been covered in this book to: Examine the theoretical superiorities of the LPM- CAPM. Demonstrate the applications of the model with empirical evidence. Explain the significance of the model with a comprehensive survey of property fund managers. Review global REITs."
Lower Partial Moment Capital Asset Pricing Models
Title | Lower Partial Moment Capital Asset Pricing Models PDF eBook |
Author | Stephen E. Satchell |
Publisher | |
Pages | 14 |
Release | 1996 |
Genre | Capital assets pricing model |
ISBN |
Lower Partial Moment-capital Asset Pricing Model in Listed Property Trusts
Title | Lower Partial Moment-capital Asset Pricing Model in Listed Property Trusts PDF eBook |
Author | Chyi Lin Lee |
Publisher | |
Pages | 256 |
Release | 2008 |
Genre | Capital assets pricing model |
ISBN |
Multi-moment Asset Allocation and Pricing Models
Title | Multi-moment Asset Allocation and Pricing Models PDF eBook |
Author | Emmanuel Jurczenko |
Publisher | John Wiley & Sons |
Pages | 258 |
Release | 2006-10-02 |
Genre | Business & Economics |
ISBN | 0470057998 |
While mainstream financial theories and applications assume that asset returns are normally distributed and individual preferences are quadratic, the overwhelming empirical evidence shows otherwise. Indeed, most of the asset returns exhibit “fat-tails” distributions and investors exhibit asymmetric preferences. These empirical findings lead to the development of a new area of research dedicated to the introduction of higher order moments in portfolio theory and asset pricing models. Multi-moment asset pricing is a revolutionary new way of modeling time series in finance which allows various degrees of long-term memory to be generated. It allows risk and prices of risk to vary through time enabling the accurate valuation of long-lived assets. This book presents the state-of-the art in multi-moment asset allocation and pricing models and provides many new developments in a single volume, collecting in a unified framework theoretical results and applications previously scattered throughout the financial literature. The topics covered in this comprehensive volume include: four-moment individual risk preferences, mathematics of the multi-moment efficient frontier, coherent asymmetric risks measures, hedge funds asset allocation under higher moments, time-varying specifications of (co)moments and multi-moment asset pricing models with homogeneous and heterogeneous agents. Written by leading academics, Multi-moment Asset Allocation and Pricing Models offers a unique opportunity to explore the latest findings in this new field of research.
Asset pricing in a generalized mean-lower partial moment framework
Title | Asset pricing in a generalized mean-lower partial moment framework PDF eBook |
Author | William Van Harlow |
Publisher | |
Pages | 412 |
Release | 1986 |
Genre | Capital assets pricing model |
ISBN |
The Capital Asset Pricing Model
Title | The Capital Asset Pricing Model PDF eBook |
Author | |
Publisher | Bookboon |
Pages | 57 |
Release | |
Genre | |
ISBN | 8776817121 |
Higher Partial Moment Uncertainty in Portfolio Allocation and Asset Pricing
Title | Higher Partial Moment Uncertainty in Portfolio Allocation and Asset Pricing PDF eBook |
Author | David Newton |
Publisher | |
Pages | |
Release | 2003 |
Genre | |
ISBN |