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Π-CAPM: The classical CAPM with probability weighting and skewed assets

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  • Driessen, Joost

    (Tilburg University, School of Economics and Management)

  • Ebert, Sebastian

    (Tilburg University, School of Economics and Management)

  • Koëter, Joren

    (Tilburg University, School of Economics and Management)

Abstract

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Suggested Citation

  • Driessen, Joost & Ebert, Sebastian & Koëter, Joren, 2025. "Π-CAPM: The classical CAPM with probability weighting and skewed assets," Other publications TiSEM 9e8b74e7-8c51-4fb6-9dea-4, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:9e8b74e7-8c51-4fb6-9dea-4b054f89d8cb
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    References listed on IDEAS

    as
    1. Tim Bollerslev & George Tauchen & Hao Zhou, 2009. "Expected Stock Returns and Variance Risk Premia," The Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4463-4492, November.
    2. Nicholas Barberis & Ming Huang, 2008. "Stocks as Lotteries: The Implications of Probability Weighting for Security Prices," American Economic Review, American Economic Association, vol. 98(5), pages 2066-2100, December.
    3. Roman Kozhan & Anthony Neuberger & Paul Schneider, 2013. "The Skew Risk Premium in the Equity Index Market," The Review of Financial Studies, Society for Financial Studies, vol. 26(9), pages 2174-2203.
    4. Nicholas Barberis & Lawrence J. Jin & Baolian Wang, 2021. "Prospect Theory and Stock Market Anomalies," Journal of Finance, American Finance Association, vol. 76(5), pages 2639-2687, October.
    5. Dybvig, Philip H & Ingersoll, Jonathan E, Jr, 1982. "Mean-Variance Theory in Complete Markets," The Journal of Business, University of Chicago Press, vol. 55(2), pages 233-251, April.
    6. Todd Mitton & Keith Vorkink, 2007. "Equilibrium Underdiversification and the Preference for Skewness," The Review of Financial Studies, Society for Financial Studies, vol. 20(4), pages 1255-1288.
    Full references (including those not matched with items on IDEAS)

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