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An investigation of a portfolio-loss under the CAPM


  • V. Reznik
  • U. Spreitzer


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.

Suggested Citation

  • V. Reznik & U. Spreitzer, 2004. "An investigation of a portfolio-loss under the CAPM," Finance 0402013, EconWPA.
  • Handle: RePEc:wpa:wuwpfi:0402013
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    References listed on IDEAS

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    9. Ferrary, Michel, 2003. "Trust and social capital in the regulation of lending activities," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 31(6), pages 673-699.
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    11. L. R. Wray, 1990. "Money and Credit in Capitalist Economies," Books, Edward Elgar Publishing, number 474.
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    More about this item


    portfolio CAPM loss;

    JEL classification:

    • G - Financial Economics

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