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...
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| Format: | Article |
| Language: | English |
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2010-10.
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| Online Access: | Get fulltext |