Introducing higher moments in the CAPM: some basic ideas

Detalhes bibliográficos
Autor(a) principal: Athayde, Gustavo M. de
Data de Publicação: 1999
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/10438/941
Resumo: 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.
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spelling Athayde, Gustavo M. deFlôres Junior, Renato GalvãoEscolas::EPGEFGV2008-05-13T15:42:19Z2010-09-23T18:57:17Z2008-05-13T15:42:19Z2010-09-23T18:57:17Z1999-11-010104-8910http://hdl.handle.net/10438/941We 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.engEscola de Pós-Graduação em Economia da FGVEnsaios Econômicos;362Introducing higher moments in the CAPM: some basic ideasinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleEconomiaEconomiaModelos econométricosInvestimentosreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessTHUMBNAIL1211.pdf.jpg1211.pdf.jpgGenerated Thumbnailimage/jpeg4280https://repositorio.fgv.br/bitstreams/4f1e1e18-333b-4650-b597-a864915ea22b/downloadef7e081a79154bcd84ef10cf2845967eMD59TEXT1211.pdf.txt1211.pdf.txtExtracted texttext/plain26381https://repositorio.fgv.br/bitstreams/1160e056-3b95-401f-9ab3-91a636d29b24/download9c3dd27659b27405c1a90d80cefbf0beMD58ORIGINAL1211.pdfapplication/pdf176333https://repositorio.fgv.br/bitstreams/b3a44880-6403-48e6-b24d-411d38d62051/download3283c68d136e2671aacdb7dba5081fb4MD5310438/9412023-11-08 12:29:56.373open.accessoai:repositorio.fgv.br:10438/941https://repositorio.fgv.brRepositório InstitucionalPRIhttp://bibliotecadigital.fgv.br/dspace-oai/requestopendoar:39742023-11-08T12:29:56Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)false
dc.title.eng.fl_str_mv Introducing higher moments in the CAPM: some basic ideas
title Introducing higher moments in the CAPM: some basic ideas
spellingShingle Introducing higher moments in the CAPM: some basic ideas
Athayde, Gustavo M. de
Economia
Economia
Modelos econométricos
Investimentos
title_short Introducing higher moments in the CAPM: some basic ideas
title_full Introducing higher moments in the CAPM: some basic ideas
title_fullStr Introducing higher moments in the CAPM: some basic ideas
title_full_unstemmed Introducing higher moments in the CAPM: some basic ideas
title_sort Introducing higher moments in the CAPM: some basic ideas
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
Modelos econométricos
Investimentos
dc.subject.bibliodata.por.fl_str_mv Economia
Modelos econométricos
Investimentos
description 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.
publishDate 1999
dc.date.issued.fl_str_mv 1999-11-01
dc.date.accessioned.fl_str_mv 2008-05-13T15:42:19Z
2010-09-23T18:57:17Z
dc.date.available.fl_str_mv 2008-05-13T15:42:19Z
2010-09-23T18:57:17Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
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dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/941
dc.identifier.issn.none.fl_str_mv 0104-8910
identifier_str_mv 0104-8910
url http://hdl.handle.net/10438/941
dc.language.iso.fl_str_mv eng
language eng
dc.relation.ispartofseries.por.fl_str_mv Ensaios Econômicos;362
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
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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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