A three-dimensional risk-return relationship based upon the inefficiency of a portfolio: derivation and implications
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DOI: 10.1080/135184799337064
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- Juan-Pedro Gómez & Fernando Zapatero, 2001. "Asset pricing implications of benchmarking: A two-factor CAPM," Economics Working Papers 693, Department of Economics and Business, Universitat Pompeu Fabra.
- 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).
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Keywords
Risk-return Relationship; Inefficient Index; Cost Of Equity Capital;All these keywords.
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