Risk–return-efficient target-volatility strategies

2014 ◽  
Vol 3 (3) ◽  
pp. 3-18
Author(s):  
Guido Giese
Keyword(s):  
Risk Return

Risk, Return, and Regulation

CFA Magazine ◽  
2017 ◽  
Vol 28 (4) ◽  
pp. 28-29
Author(s):  
Ralph Wanger
Keyword(s):  
Risk Return

There Is a Risk–Return Trade-Off After All

CFA Digest ◽  
2005 ◽  
Vol 35 (4) ◽  
pp. 71-72
Author(s):  
Frank T. Magiera
Keyword(s):  
Trade Off ◽  
Risk Return

Estimation of Risk-Return Relation Parameters in the Context of the Apt Model

2009 ◽  
Vol 4 (1) ◽  
pp. 26-38
Author(s):  
Małgorzata Kobylińska ◽  
Lesław Markowski
Keyword(s):  
Risk Return ◽  
Estimation Of Risk

A Single Period Stochastic Model for Maximising Firms Value

GIS Business ◽  
2016 ◽  
Vol 11 (6) ◽  
pp. 39-45
Author(s):  
J. P. Singh
Keyword(s):  
Capital Market ◽  
Firm Value ◽  
Capital Asset Pricing ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
Value Maximization ◽  
Risk Return ◽  
Bankruptcy Costs ◽  
Single Period ◽  
Debt Capacity

This article sets up a single period value maximization model for the firm based on stochastic end-of-period cash inflows, stochastic bankruptcy costs and taxes based on income rather than wealth. The risk-return trade-off is captured in the Capital Asset Pricing Model. Thus, the model also assumes a perfect capital market and market equilibrium. The model establishes the existence of a unique optimal financial leverage at which the firm value is maximized, this leverage being less than the maximum debt capacity of the firm.

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