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https://repositorio.insper.edu.br/handle/11224/4867
| Type: | Capítulo de Livro |
| Title: | Introducing higher moments in the capm: some basic ideas |
| Author: | Athayde, Gustavo Monteiro de Flôres Junior, Renato Galvão |
| Publication Date: | 2000 |
| Abstract: | We show how to include in the CAPM moments of any order, extending the mean-variance or mean-variance-skewness versions available until now. Then, we present a simple way to modify the formulae, in order to avoid the appearance of utility parameters. The results can be easily applied to practical portfolio design, with econometric inference and testing based on generalised method of moments procedures. An empirical application to the Brazilian stock market is discussed. |
| Keywords (english terms): | CAPM GMM Kurtosis Likelihood ratio tests Market portfolio Skewness |
| Language: | Inglês |
| CNPq Area: | Ciências Sociais Aplicadas |
| URI: | https://link.springer.com/book/10.1007/978-1-4615-4389-3 |
| Copyright: | O INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DOS USUÁRIOS INDIVIDUAIS VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITOR. |
| Book title: | Advances in quantitative asset management |
| Appears in Collections: | Coleção de Capítulos de Livros |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| R_Capítulo de livro_2000_Introducing Higher Moments in the CAPM_TC.pdf | R_Capítulo de livro_2000_Introducing Higher Moments in the CAPM_TC | 30.52 MB | Adobe PDF | View/Open |
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