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CAPM-Like model and the special form of the utility function

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  • Dranev Yury

    ("UK "Mercury Capital Trust")

Abstract

The variance and semivariance are traditional measures of asset returns volatility since Markowitz proposed the market portfolio theory. Well known models for expected asset returns were developed under assumptions of mean-variance or mean-semivariance investor's behavior. But numerous papers provided arguments against these models because of unrealistic assumptions and controversial empiric evidence. More complicated models with downside risk measures experienced difficulties with applications. The new model based on the special form of the investor's utility function is proposed in this paper.

Suggested Citation

  • Dranev Yury, 2012. "CAPM-Like model and the special form of the utility function," Journal of Corporate Finance Research Корпоративные финансы, CyberLeninka;Федеральное государственное автономное образовательное учреждение высшего образования «Национальный исследовательский университет «Высшая школа экономики», issue 1 (21), pages 33-36.
    • Handle: RePEc:scn:026790:15693817
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    Cited by:

    1. Yury Dranev & Sofya Fomkina, 2013. "An asymmetric approach to the cost of equity estimation: empirical evidence from Russia," HSE Working papers WP BRP 12/FE/2013, National Research University Higher School of Economics.

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