Downside risk asset pricing revisited: a new non-linear threshold model

We derive an asset pricing equilibrium formula in which the risk premium on a risky asset is given by a weighted sum of the regular beta capital asset pricing model and a market portfolio downside risk beta. The equilibrium model is obtained from a new utility function that builds on the class of do...

Full description

Bibliographic Details
Main Author: Olmo, Jose (Author)
Format: Article
Language:English
Published: 2010-10.
Subjects:
Online Access:Get fulltext