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Capital Asset Pricing Compatible with Observed Market Value Weights

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  • Best, Michael J
  • Grauer, Robert R

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  • Best, Michael J & Grauer, Robert R, 1985. "Capital Asset Pricing Compatible with Observed Market Value Weights," Journal of Finance, American Finance Association, vol. 40(1), pages 85-103, March.
    • Handle: RePEc:bla:jfinan:v:40:y:1985:i:1:p:85-103
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    Cited by:

    1. Maria Debora Braga & Francesco Paolo Natale, 2012. "Active risk sensitivity to views using the Black–Litterman model," Journal of Asset Management, Palgrave Macmillan, vol. 13(1), pages 5-21, February.
    2. Hlouskova, Jaroslava & Lee, Gabriel S., 2001. "Legal Restrictions on Portfolio Holdings: Some Empirical Results," Economics Series 93, Institute for Advanced Studies.
    3. Grauer, Robert R. & Janmaat, Johannus A., 2004. "The unintended consequences of grouping in tests of asset pricing models," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 2889-2914, December.
    4. Saban Celik, 2012. "Theoretical and Empirical Review of Asset Pricing Models:A Structural Synthesis," International Journal of Economics and Financial Issues, Econjournals, vol. 2(2), pages 141-178.
    5. David Ardia & Kris Boudt, 2013. "Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy," Cahiers de recherche 1328, CIRPEE.
    6. M. J. Best & J. Hlouskova, 2007. "An Algorithm for Portfolio Optimization with Variable Transaction Costs, Part 2: Computational Analysis," Journal of Optimization Theory and Applications, Springer, vol. 135(3), pages 531-547, December.
    7. Grauer, Robert R. & Janmaat, Johannus A., 2009. "On the power of cross-sectional and multivariate tests of the CAPM," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 775-787, May.
    8. Thomas J. Brennan & Andrew W. Lo, 2010. "Impossible Frontiers," Management Science, INFORMS, vol. 56(6), pages 905-923, June.
    9. João Frois Caldeira & Marcelo Savino Portugal, 2010. "Long-Short Market Neutral and Index Tracking Strategies Based on Cointegrated Portfolios," Brazilian Review of Finance, Brazilian Society of Finance, vol. 8(4), pages 469-504.
    10. Diacogiannis, George & Ioannidis, Christos, 2022. "Linear beta pricing with efficient/inefficient benchmarks and short-selling restrictions," International Review of Financial Analysis, Elsevier, vol. 81(C).
    11. Alejandro Corvalán, 2005. "Mixed Tactical Asset Allocation," Working Papers Central Bank of Chile 323, Central Bank of Chile.

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