finance, the capital asset pricing model (CAPM) is a model used to determine a theoretically appropriate required rate of return of an asset, to make decisions...

asset pricing refers to a formal treatment and development of two interrelated pricing principles, outlined below, together with the resultant models...

arbitrage pricing theory (APT) is a multi-factor model for asset pricing which relates various macro-economic (systematic) risk variables to the pricing of financial...

objective capital asset pricing model. Even without the assumption of an agreement, it is possible to set rational limits on capital asset value. For...

suggest that the capital asset pricing model has been empirically invalidated. various other models are proposed (see asset pricing), although all are...

information to investors than does only looking at the single Capital Asset Pricing Model (CAPM) beta. The comparison of upside to downside risk is necessary...

Alpha, along with beta, is one of two key coefficients in the capital asset pricing model used in modern portfolio theory and is closely related to other...

the capital asset pricing model (CAPM) assumes: that security distributions are symmetrical, and thus that downside and upside betas for an asset are...

intertemporal capital asset pricing model, or ICAPM, is an alternative to the CAPM provided by Robert Merton. It is a linear factor model with wealth as...

Equilibrium pricing Equities; foreign exchange and commodities Capital asset pricing model Consumption-based CAPM Intertemporal CAPM Single-index model Multiple...

key input into cost of capital calculations such as those performed using the capital asset pricing model. The cost of capital at risk then is the sum...

The consumption-based capital asset pricing model (CCAPM) is a model of the determination of expected (i.e. required) return on an investment. The foundations...

traditional CAPM model. They include, for example, the arbitrage pricing theory (APT) as well as the consumption-based capital asset pricing model (CCAPM). Furthermore...

In asset pricing and portfolio management the Fama–French three-factor model is a statistical model designed in 1992 by Eugene Fama and Kenneth French...

returns predicted by pricing models. Therefore, anomalous market returns may reflect market inefficiency, an inaccurate asset pricing model or both. This problem...

value Undervalued stock Valuation risk Specific pricing models Capital asset pricing model Arbitrage pricing theory Black–Scholes (for options) Fuzzy pay-off...

is a method used to estimate parameters for asset pricing models such as the capital asset pricing model (CAPM). The method estimates the betas and risk...

asset prices, and frameworks such as consumption-based asset pricing and intermediary asset pricing can be thought of as the combination of a model of...

Tim Bollerslev (2019). "Risk and Return in Equilibrium: The Capital Asset Pricing Model (CAPM)" Hui, C.; Fox, G.A.; Gurevitch, J. (2017). "Scale-dependent...

defined as volatility, rather than allocation of capital. The risk parity approach asserts that when asset allocations are adjusted (leveraged or deleveraged)...

Rational pricing is the assumption in financial economics that asset prices – and hence asset pricing models – will reflect the arbitrage-free price of the...

administrative officer or chief accounting officer CAPEX – Capital expenditure CAPM – Capital asset pricing model CBOE – Chicago Board Options Exchange CBOT – Chicago...

generally extensions of the single-factor capital asset pricing model (CAPM). The multifactor equity risk model was first developed by Barr Rosenberg and...

Security market line (SML) is the representation of the capital asset pricing model. It displays the expected rate of return of an individual security...

the capital asset pricing model, arbitrage pricing theory and other theories that use pricing kernels. In these models, the rate of return of an asset (hence...

normally includes a risk premium which is commonly based on the capital asset pricing model. For discussion of the mechanics, see Valuation using discounted...

Economic Sciences. Sharpe was one of the originators of the capital asset pricing model (CAPM). He created the Sharpe ratio for risk-adjusted investment...

Black-Scholes model and Merton's application of the model to a continuous-time framework. Black also made significant contributions to the capital asset pricing model...

comes from the capital asset pricing model which argues the maximum diversification comes from buying a pro rata share of all available assets. This is the...

asset prices: A theory of market equilibrium under conditions of risk, Capital asset pricing model 1965 – John Lintner, The Valuation of Risk Assets and...