A Mean-Variance Capital Asset Pricing Model for Long Short Equity Hedge Fund Portfolios

2009 ◽  
Author(s):  
David E. Hampton
Keyword(s):  
Asset Pricing ◽  
Hedge Fund ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
Mean Variance

scholarly journals The Capital Asset Pricing Model

Encyclopedia ◽  
2021 ◽  
Vol 1 (3) ◽  
pp. 915-933
Author(s):  
James Ming Chen
Keyword(s):  
Asset Pricing ◽  
Financial Risk ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Financial Assets ◽  
Pricing Model ◽  
Capital Asset ◽  
Government Bonds ◽  
Asset Pricing Model ◽  
Mean Variance

The capital asset pricing model (CAPM) is an influential paradigm in financial risk management. It formalizes mean-variance optimization of a risky portfolio given the presence of a risk-free investment such as short-term government bonds. The CAPM defines the price of financial assets according to the premium demanded by investors for bearing excess risk.

scholarly journals On the validity of the Capital Asset Pricing Model

2000 ◽  
Vol 5 (1) ◽  
pp. 73-92
Author(s):  
Hassan Naqvi
Keyword(s):  
Asset Pricing ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Specific Level ◽  
Asset Pricing Model ◽  
The Subject ◽  
Mean Variance ◽  
Level Of Risk

One of the most important developments of modern finance is the Capital Asset Pricing Model (CAPM) of Sharpe, Lintner and Mossin. Although the model has been the subject of several academic papers, it is still exposed to theoretical and empirical criticisms. The CAPM is based on Markowitz’s (1959) mean variance analysis. Markowitz demonstrated that rational investors would hold assets, which offer the highest possible return for a given level of risk, or conversely assets with the minimum level of risk for a specific level of return.

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