A CHANCE-CONSTRAINT PROGRAMMING APPROACH TO THE CAPITAL PRICING MODEL

被引：0
|
作者：
OSTERMARK, R
机构：
[1] Åbo Akademi University, Department of Business Administration, 20500 Åbo 50
来源：
KYBERNETES | 1991年 / 20卷 / 05期
关键词：
D O I：
10.1108/eb005898
中图分类号：
TP3 [计算技术、计算机技术];
学科分类号：
0812 ;
摘要：
A probabilistic setting is utilised in order to explain capital asset pricing, and an alternative expression for the beta-risk premium of the Standard Capital Asset-Pricing Model (CAPM) is derived. It is shown that the extended beta-coefficient has the potential to explain the company-size effect and the tendency towards underestimation of the systematic risk within the standard CAPM framework.
引用
收藏
页码：42 / 49
页数：8
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