Calibrating risk preferences with the generalized capital asset pricing model based on mixed conditional value-at-risk deviation

2012 ◽  
Vol 15 (1) ◽  
pp. 45-70 ◽  
Author(s):  
Konstantin Kalinchenko ◽  
Stan Uryasev ◽  
R. Tyrrell Rockafellar
Keyword(s):  
At Risk ◽  
Asset Pricing ◽  
Value At Risk ◽  
Risk Preferences ◽  
Capital Asset Pricing Model ◽  
Conditional Value At Risk ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model
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