CAPM, rewards, and empirical asset pricing with coherent risk
Probability
2008-12-10 v1 Pricing of Securities
Risk Management
Abstract
The paper has 2 main goals: 1. We propose a variant of the CAPM based on coherent risk. 2. In addition to the real-world measure and the risk-neutral measure, we propose the third one: the extreme measure. The introduction of this measure provides a powerful tool for investigating the relation between the first two measures. In particular, this gives us - a new way of measuring reward; - a new approach to the empirical asset pricing.
Keywords
Cite
@article{arxiv.math/0605065,
title = {CAPM, rewards, and empirical asset pricing with coherent risk},
author = {Alexander S. Cherny and Dilip B. Madan},
journal= {arXiv preprint arXiv:math/0605065},
year = {2008}
}