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An investigation of a portfolio-loss under the CAPM

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Author Info
V. Reznik
U. Spreitzer
Abstract

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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File URL: http://129.3.20.41/eps/fin/papers/0402/0402013.pdf
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Publisher Info
Paper provided by EconWPA in its series Finance with number 0402013.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
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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Web page: http://129.3.20.41

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Related research
Keywords: portfolio CAPM loss;

Find related papers by JEL classification:
G - Financial Economics

This paper has been announced in the following NEP Reports:

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This page was last updated on 2009-12-13.

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