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An investigation of a portfolio-loss under the CAPM

Author

Listed:
  • V. Reznik
  • U. Spreitzer

Abstract

We consider a portfolio built according to the Capital Market Line of the Capital-Asset-Pricing Model. The universe of asset classes include marketable shares and bonds only. We investigate losses that emerge when the rate of return of the portfolio is lower than that required to fulfil a defined obligation. We will classify these losses and calculate upper limits for them.

Suggested Citation

  • V. Reznik & U. Spreitzer, 2004. "An investigation of a portfolio-loss under the CAPM," Finance 0402013, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpfi:0402013
    Note: Type of Document - pdf; prepared on win98; pages: 8;
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/0402/0402013.pdf
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    More about this item

    Keywords

    portfolio CAPM loss;

    JEL classification:

    • G - Financial Economics

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