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An investigation of a portfolio-loss under the CAPM


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  • V. Reznik
  • U. Spreitzer
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    We consider a portfolio built according to the Capital Market Line of the Capital-Asset-Pricing Model. The universe of asset classes include marketable shares and bonds only. We investigate losses that emerge when the rate of return of the portfolio is lower than that required to fulfil a defined obligation. We will classify these losses and calculate upper limits for them.

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    Bibliographic Info

    Paper provided by EconWPA in its series Finance with number 0402013.

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    Length: 8 pages
    Date of creation: 12 Feb 2004
    Date of revision:
    Handle: RePEc:wpa:wuwpfi:0402013

    Note: Type of Document - pdf; prepared on win98; pages: 8;
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    Related research

    Keywords: portfolio CAPM loss;

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