An investigation of a portfolio-loss under the CAPM
AbstractWe 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 InfoPaper provided by EconWPA in its series Finance with number 0402013.
Length: 8 pages
Date of creation: 12 Feb 2004
Date of revision:
Note: Type of Document - pdf; prepared on win98; pages: 8;
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portfolio CAPM loss;
Find related papers by JEL classification:
- G - Financial Economics
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-02-15 (All new papers)
- NEP-CFN-2004-02-15 (Corporate Finance)
- NEP-FIN-2004-02-15 (Finance)
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