IDEAS home Printed from
   My bibliography  Save this paper

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

    Download full text from publisher

    File URL:
    Download Restriction: no

    More about this item


    portfolio CAPM loss;

    JEL classification:

    • G - Financial Economics

    NEP fields

    This paper has been announced in the following NEP Reports:


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpfi:0402013. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.