IDEAS home Printed from https://ideas.repec.org/a/eee/ejores/v123y2000i3p628-639.html
   My bibliography  Save this article

Separating risk and return in the CAPM: A general utility-based model

Author

Listed:
  • Pedersen, Christian S.

Abstract

No abstract is available for this item.

Suggested Citation

  • Pedersen, Christian S., 2000. "Separating risk and return in the CAPM: A general utility-based model," European Journal of Operational Research, Elsevier, vol. 123(3), pages 628-639, June.
    • Handle: RePEc:eee:ejores:v:123:y:2000:i:3:p:628-639
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0377-2217(99)00114-9
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Sarin, Rakesh K. & Weber, Martin, 1993. "Risk-value models," European Journal of Operational Research, Elsevier, vol. 70(2), pages 135-149, October.
    2. Fishburn, Peter C, 1977. "Mean-Risk Analysis with Risk Associated with Below-Target Returns," American Economic Review, American Economic Association, vol. 67(2), pages 116-126, March.
    3. Stephen A. Ross, 2005. "Mutual Fund Separation in Financial Theory—The Separating Distributions," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 10, pages 309-356, World Scientific Publishing Co. Pte. Ltd..
    4. Sears, R Stephen & Wei, K C John, 1985. "Asset Pricing, Higher Moments, and the Market Risk Premium: A Note," Journal of Finance, American Finance Association, vol. 40(4), pages 1251-1253, September.
    5. Muellbauer, John, 1976. "Community Preferences and the Representative Consumer," Econometrica, Econometric Society, vol. 44(5), pages 979-999, September.
    6. Pedersen, C. S. & Satchell, S. E., 1997. "Risk, Utility an Switching between Gambles," Cambridge Working Papers in Economics 9735, Faculty of Economics, University of Cambridge.
    7. David E. Bell, 1988. "One-Switch Utility Functions and a Measure of Risk," Management Science, INFORMS, vol. 34(12), pages 1416-1424, December.
    8. Bawa, Vijay S. & Lindenberg, Eric B., 1977. "Abstract: Capital Market Equilibrium in a Mean-Lower Partial Moment Framework," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(4), pages 635-635, November.
    9. Rubinstein, Mark E., 1973. "The Fundamental Theorem of Parameter-Preference Security Valuation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 8(1), pages 61-69, January.
    10. Jianmin Jia & James S. Dyer, 1996. "A Standard Measure of Risk and Risk-Value Models," Management Science, INFORMS, vol. 42(12), pages 1691-1705, December.
    11. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    12. Grauer, Robert R., 1978. "Generalized two parameter asset pricing models : Some empirical evidence," Journal of Financial Economics, Elsevier, vol. 6(1), pages 11-32, March.
    13. Mossin, Jan, 1969. "Security Pricing and Investment Criteria in Competitive Markets," American Economic Review, American Economic Association, vol. 59(5), pages 749-756, December.
    14. Harlow, W. V. & Rao, Ramesh K. S., 1989. "Asset Pricing in a Generalized Mean-Lower Partial Moment Framework: Theory and Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(3), pages 285-311, September.
    15. Bawa, Vijay S. & Lindenberg, Eric B., 1977. "Capital market equilibrium in a mean-lower partial moment framework," Journal of Financial Economics, Elsevier, vol. 5(2), pages 189-200, November.
    16. Rubinstein, Mark, 1974. "An aggregation theorem for securities markets," Journal of Financial Economics, Elsevier, vol. 1(3), pages 225-244, September.
    17. Hogan, William W. & Warren, James M., 1974. "Toward the Development of an Equilibrium Capital-Market Model Based on Semivariance," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 9(1), pages 1-11, January.
    18. Holthausen, Duncan M, 1981. "A Risk-Return Model with Risk and Return Measured as Deviations from a Target Return," American Economic Review, American Economic Association, vol. 71(1), pages 182-188, March.
    19. Cass, David & Stiglitz, Joseph E., 1970. "The structure of investor preferences and asset returns, and separability in portfolio allocation: A contribution to the pure theory of mutual funds," Journal of Economic Theory, Elsevier, vol. 2(2), pages 122-160, June.
    20. Kraus, Alan & Litzenberger, Robert H, 1976. "Skewness Preference and the Valuation of Risk Assets," Journal of Finance, American Finance Association, vol. 31(4), pages 1085-1100, September.
    21. Price, Kelly & Price, Barbara & Nantell, Timothy J, 1982. "Variance and Lower Partial Moment Measures of Systematic Risk: Some Analytical and Empirical Results," Journal of Finance, American Finance Association, vol. 37(3), pages 843-855, June.
    22. Sears, R Stephen & Wei, K C John, 1988. "The Structure of Skewness Preferences in Asset Pricing Models with Higher Moments: An Empirical Test," The Financial Review, Eastern Finance Association, vol. 23(1), pages 25-38, February.
    23. David E. Bell, 1995. "Risk, Return, and Utility," Management Science, INFORMS, vol. 41(1), pages 23-30, January.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. El Hedi Arouri, Mohamed & Rault, Christophe & Sova, Anamaria & Sova, Robert & Teulon, Frédéric, 2013. "Market structure and the cost of capital," Economic Modelling, Elsevier, vol. 31(C), pages 664-671.
    2. Delis, Manthos D. & Savva, Christos S. & Theodossiou, Panayiotis, 2021. "The impact of the coronavirus crisis on the market price of risk," Journal of Financial Stability, Elsevier, vol. 53(C).
    3. Mohamed El Hedi Arouri & Christophe Rault & Ana Maria Sova & Robert Sova & Frédéric Teulon, 2013. "Market Structure and the Cost of Capital," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00798048, HAL.
    4. repec:ipg:wpaper:2014-351 is not listed on IDEAS
    5. Christian S. Pedersen & S. E. Satchell, 2003. "Utility Functions whose Parameters depend on Initial Wealth," Bulletin of Economic Research, Wiley Blackwell, vol. 55(4), pages 357-371, October.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Anthonisz, Sean A., 2012. "Asset pricing with partial-moments," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2122-2135.
    2. Houda Hafsa & Dorra Hmaied, 2012. "Are Downside Higher Order Co-Moments Priced? : Evidence From The French Market," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 6(1), pages 65-81.
    3. Zhangxin (Frank) Liu & Michael J. O'Neill, 2018. "Partial moment volatility indices," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(1), pages 195-215, March.
    4. Chiao, Chaoshin & Hung, Ken & Srivastava, Suresh C., 2003. "Taiwan stock market and four-moment asset pricing model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(4), pages 355-381, October.
    5. Sean A. Anthonisz & Tālis J. Putniņš, 2017. "Asset Pricing with Downside Liquidity Risks," Management Science, INFORMS, vol. 63(8), pages 2549-2572, August.
    6. Franke, Günter & Weber, Martin, 1997. "Risk-value efficient portfolios and asset pricing," Discussion Papers, Series II 354, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
    7. Georges Hübner & Thomas Lejeune, 2015. "Portfolio choice and investor preferences : A semi-parametric approach based on risk horizon," Working Paper Research 289, National Bank of Belgium.
    8. Tamara Teplova & Evgeniya Shutova, 2011. "A Higher Moment Downside Framework for Conditional and Unconditional Capm in the Russian Stock Market," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 1(2), pages 157-178, December.
    9. Penaranda, Francisco, 2007. "Portfolio choice beyond the traditional approach," LSE Research Online Documents on Economics 24481, London School of Economics and Political Science, LSE Library.
    10. Tamara Ajrapetova, 2018. "Cross-Section of Asset Returns: Emerging Markets and Market Integration," European Financial and Accounting Journal, Prague University of Economics and Business, vol. 2018(1), pages 41-60.
    11. Post, Thierry & van Vliet, Pim, 2006. "Downside risk and asset pricing," Journal of Banking & Finance, Elsevier, vol. 30(3), pages 823-849, March.
    12. Cumova, Denisa & Nawrocki, David, 2011. "A symmetric LPM model for heuristic mean-semivariance analysis," Journal of Economics and Business, Elsevier, vol. 63(3), pages 217-236, May.
    13. Franke, Günter & Weber, Martin, 2001. "Heterogeneity of Investors and Asset Pricing in a Risk-Value World," CoFE Discussion Papers 01/08, University of Konstanz, Center of Finance and Econometrics (CoFE).
    14. Hildebrandt, Patrick & Knoke, Thomas, 2011. "Investment decisions under uncertainty--A methodological review on forest science studies," Forest Policy and Economics, Elsevier, vol. 13(1), pages 1-15, January.
    15. Mitchell, Douglas W. & Gelles, Gregory M., 2003. "Risk-value models: Restrictions and applications," European Journal of Operational Research, Elsevier, vol. 145(1), pages 109-120, February.
    16. Javier Estrada, 2009. "The Gain‐Loss Spread: A New and Intuitive Measure of Risk," Journal of Applied Corporate Finance, Morgan Stanley, vol. 21(4), pages 104-114, September.
    17. Usman Ayub & Samaila Kausar & Umara Noreen & Muhammad Zakaria & Imran Abbas Jadoon, 2020. "Downside Risk-Based Six-Factor Capital Asset Pricing Model (CAPM): A New Paradigm in Asset Pricing," Sustainability, MDPI, vol. 12(17), pages 1-16, August.
    18. Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2016. "Efficient skewness/semivariance portfolios," Journal of Asset Management, Palgrave Macmillan, vol. 17(5), pages 331-346, September.
    19. Brogan, Anita J. & Stidham Jr., Shaler, 2008. "Non-separation in the mean-lower-partial-moment portfolio optimization problem," European Journal of Operational Research, Elsevier, vol. 184(2), pages 701-710, January.
    20. Anna Rutkowska-Ziarko & Lesław Markowski, 2022. "Accounting and Market Risk Measures of Polish Energy Companies," Energies, MDPI, vol. 15(6), pages 1-21, March.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    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:eee:ejores:v:123:y:2000:i:3:p:628-639. See general information about how to correct material in RePEc.

    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.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/eor .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.