The Capital Asset Pricing Model with Mean, Variance and Skewness: An Experiment  

Oleh:

Lee, Jennifer

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Loyola Schools Review: John Gokongwei School of Management vol. 5 (2006), page 59-86.
Topik: Capital Asset Pricing Model

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: LL46 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

The study revisits the mean-variance Capital Asset Pricing Model (CAPM) and incorporates higher moments (skewness, kurtosis et al) into the model. We find that only skewness adds significant value to the model. We design an optimal portfolio using three Canadian stocks, which under a specific preference for variance-skewness substitution, maximizes returns, minimizes variace and maximizes skewness

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