Please use this identifier to cite or link to this item: 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

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