A CAPM with higher moments: theory and econometrics

Detalhes bibliográficos
Autor(a) principal: Athayde, Gustavo M. de
Data de Publicação: 1997
Outros Autores: Flôres Junior, Renato Galvão
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/515
Resumo: We develop portfolio choice theory taking into consideration the first p~ moments of the underIying assets distribution. A rigorous characterization of the opportunity set and of the efficient portfolios frontier is given, as well as of the solutions to the problem with a general utility function and short sales allowed. The extension of c1assical meanvariance properties, like two-fund separation, is also investigated. A general CAPM is derived, based on the theoretical foundations built, and its empirical consequences and testing are discussed
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spelling Athayde, Gustavo M. deFlôres Junior, Renato GalvãoEscolas::EPGEFGV2008-05-13T15:25:38Z2010-09-23T18:57:32Z2008-05-13T15:25:38Z2010-09-23T18:57:32Z1997-10-010104-8910http://hdl.handle.net/10438/515We develop portfolio choice theory taking into consideration the first p~ moments of the underIying assets distribution. A rigorous characterization of the opportunity set and of the efficient portfolios frontier is given, as well as of the solutions to the problem with a general utility function and short sales allowed. The extension of c1assical meanvariance properties, like two-fund separation, is also investigated. A general CAPM is derived, based on the theoretical foundations built, and its empirical consequences and testing are discussedengEscola de Pós-Graduação em Economia da FGVEnsaios Econômicos;317A CAPM with higher moments: theory and econometricsinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleEconomiaEconomiareponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessTHUMBNAILEPGE_Ensaios_Economicos_317.pdf.jpgEPGE_Ensaios_Economicos_317.pdf.jpgGenerated Thumbnailimage/jpeg4239https://repositorio.fgv.br/bitstreams/c24e890e-28bb-46c0-9d58-63bf2c6a98fc/downloadcf8c3270b400d156ae97f5a6c345c056MD59TEXTEPGE_Ensaios_Economicos_317.pdf.txtEPGE_Ensaios_Economicos_317.pdf.txtExtracted texttext/plain50772https://repositorio.fgv.br/bitstreams/79da504b-fd0d-4a47-abea-b31baadeca43/downloadd3dcd1cdadcd5fd1f7cdec3c99f9adedMD58ORIGINALEPGE_Ensaios_Economicos_317.pdfapplication/pdf934183https://repositorio.fgv.br/bitstreams/05a97fe7-f20f-4dad-9a4d-fc6d4203994d/downloadaebb011e8ea228320fe91ac1d56a4c59MD5310438/5152023-11-08 13:47:21.184open.accessoai:repositorio.fgv.br:10438/515https://repositorio.fgv.brRepositório InstitucionalPRIhttp://bibliotecadigital.fgv.br/dspace-oai/requestopendoar:39742023-11-08T13:47:21Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)false
dc.title.eng.fl_str_mv A CAPM with higher moments: theory and econometrics
title A CAPM with higher moments: theory and econometrics
spellingShingle A CAPM with higher moments: theory and econometrics
Athayde, Gustavo M. de
Economia
Economia
title_short A CAPM with higher moments: theory and econometrics
title_full A CAPM with higher moments: theory and econometrics
title_fullStr A CAPM with higher moments: theory and econometrics
title_full_unstemmed A CAPM with higher moments: theory and econometrics
title_sort A CAPM with higher moments: theory and econometrics
author Athayde, Gustavo M. de
author_facet Athayde, Gustavo M. de
Flôres Junior, Renato Galvão
author_role author
author2 Flôres Junior, Renato Galvão
author2_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EPGE
dc.contributor.affiliation.none.fl_str_mv FGV
dc.contributor.author.fl_str_mv Athayde, Gustavo M. de
Flôres Junior, Renato Galvão
dc.subject.area.por.fl_str_mv Economia
topic Economia
Economia
dc.subject.bibliodata.por.fl_str_mv Economia
description We develop portfolio choice theory taking into consideration the first p~ moments of the underIying assets distribution. A rigorous characterization of the opportunity set and of the efficient portfolios frontier is given, as well as of the solutions to the problem with a general utility function and short sales allowed. The extension of c1assical meanvariance properties, like two-fund separation, is also investigated. A general CAPM is derived, based on the theoretical foundations built, and its empirical consequences and testing are discussed
publishDate 1997
dc.date.issued.fl_str_mv 1997-10-01
dc.date.accessioned.fl_str_mv 2008-05-13T15:25:38Z
2010-09-23T18:57:32Z
dc.date.available.fl_str_mv 2008-05-13T15:25:38Z
2010-09-23T18:57:32Z
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dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/515
dc.identifier.issn.none.fl_str_mv 0104-8910
identifier_str_mv 0104-8910
url http://hdl.handle.net/10438/515
dc.language.iso.fl_str_mv eng
language eng
dc.relation.ispartofseries.por.fl_str_mv Ensaios Econômicos;317
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Escola de Pós-Graduação em Economia da FGV
publisher.none.fl_str_mv Escola de Pós-Graduação em Economia da FGV
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