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Capital Asset Pricing Model
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Details
In finance, the capital asset pricing model (CAPM) is used to determine a theoretically appropriate required rate of return of an asset, if that asset is to be added to an already well-diversified portfolio, given that asset's non-diversifiable risk. The model takes into account the asset's sensitivity to non-diversifiable risk (also known as systematic risk or market risk), often represented by the quantity beta ( ) in the financial industry, as well as the expected return of the market and the expected return of a theoretical risk-free asset. The model was introduced by Jack Treynor (1961, 1962), William Sharpe (1964), John Lintner (1965a,b) and Jan Mossin (1966) independently, building on the earlier work of Harry Markowitz on diversification and modern portfolio theory. Sharpe, Markowitz and Merton Miller jointly received the Nobel Memorial Prize in Economics for this contribution to the field of financial economics.
Weitere Informationen
- Allgemeine Informationen
- GTIN 09786130263430
- Editor Frederic P. Miller, Agnes F. Vandome, John McBrewster
- Sprache Englisch
- Jahr 2009
- EAN 9786130263430
- Format Fachbuch
- ISBN 978-613-0-26343-0
- Titel Capital Asset Pricing Model
- Untertitel Rate of Return, Finance, Asset, Portfolio (Finance), Diversification (Finance), Systematic Risk, Market Risk, Beta (Finance), Risk, Expected Return, Risk-Free Interest Rate, Jack L. Treynor
- Herausgeber Alphascript Publishing
- Anzahl Seiten 124
- Genre Wirtschaft
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