CAPM with various utility functions: Theoretical developments and application to international data

CAPM with various utility functions: Theoretical developments and application to international data

This paper presents an extension of the Capital Assets Pricing Model (hereafter CAPM) where various utility functions are applied. Specifically, we propose an overall CAPM beta that accounts for the higher order moments and reflects the investor preferences and attitudes toward risk. We particularly...

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Bibliographic Details
Main Authors: Rihab Bedoui, Houda BenMabrouk
Format: Article
Language:English
Published: Taylor & Francis Group 2017-01-01
Series:Cogent Economics & Finance
Subjects:
truncated taylor approximation
negative exponential utility function
power utility function
hyperbolic utility function
risk measure
assets pricing
international capm
Online Access:http://dx.doi.org/10.1080/23322039.2017.1343230

Internet

http://dx.doi.org/10.1080/23322039.2017.1343230

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