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The Capital Asset Pricing Model: Theory and Empiricism

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  • Levy, Haim

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  • Levy, Haim, 1983. "The Capital Asset Pricing Model: Theory and Empiricism," Economic Journal, Royal Economic Society, vol. 93(369), pages 145-165, March.
  • Handle: RePEc:ecj:econjl:v:93:y:1983:i:369:p:145-65
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    Cited by:

    1. Levy, Haim & Levy, Moshe, 2014. "The benefits of differential variance-based constraints in portfolio optimization," European Journal of Operational Research, Elsevier, vol. 234(2), pages 372-381.
    2. Zion Guo & Hsin-Yi Huang, 2012. "An Analytic Derivation of the Efficient Market Portfolio," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 104-116, December.
    3. Mauro Andriotto & Emanuele Teti, 2014. "Beyond CAPM: an innovative factor model to optimize the risk and return trade-off," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 15(4), pages 615-630, September.
    4. Smimou, K., 2014. "International portfolio choice and political instability risk: A multi-objective approach," European Journal of Operational Research, Elsevier, vol. 234(2), pages 546-560.
    5. Kim, Jang Ho & Kim, Woo Chang & Fabozzi, Frank J., 2016. "Portfolio selection with conservative short-selling," Finance Research Letters, Elsevier, vol. 18(C), pages 363-369.
    6. Smimou, K. & Bector, C.R. & Jacoby, G., 2008. "Portfolio selection subject to experts' judgments," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 1036-1054, December.
    7. repec:pje:journl:article27sumi is not listed on IDEAS
    8. Maller, Ross & Roberts, Steven & Tourky, Rabee, 2016. "The large-sample distribution of the maximum Sharpe ratio with and without short sales," Journal of Econometrics, Elsevier, vol. 194(1), pages 138-152.
    9. Levy, Moshe, 2007. "Conditions for a CAPM equilibrium with positive prices," Journal of Economic Theory, Elsevier, vol. 137(1), pages 404-415, November.
    10. Levy, Moshe & Ritov, Yaacov, 2001. "Portfolio Optimization with Many Assets: The Importance of Short-Selling," University of California at Los Angeles, Anderson Graduate School of Management qt41x4t67m, Anderson Graduate School of Management, UCLA.

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