Excerpt from Robust Regression and Sensitivity Analysis in Estimating Mutual Funds Performance, 1945-1964 The theoretical results of the capital asset pricing models were derived independently by Sharpe Lintner Mossin and Treynor A short derivation of these results based on Mossin 4] is presented below. The purpose of all the above models is to provide a theory of equilibrium of exchange in a market for risky assets and study the properties of this equilibrium. Mossin assumes that the individual, as in a competitive ...
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Excerpt from Robust Regression and Sensitivity Analysis in Estimating Mutual Funds Performance, 1945-1964 The theoretical results of the capital asset pricing models were derived independently by Sharpe Lintner Mossin and Treynor A short derivation of these results based on Mossin 4] is presented below. The purpose of all the above models is to provide a theory of equilibrium of exchange in a market for risky assets and study the properties of this equilibrium. Mossin assumes that the individual, as in a competitive market is a price - taker and has a preference ordering among possible portfolios. The solution of the problem at the individual level implicitly deter mines its demand for risky assets as a function of prices. The inter action of these individuals' demand schedules, under certain assumptions on the individual and market behavior, determines the prices of assets that equalize supply and demand for all assets. All the cited models are based on the assumptions that a) all investors are risk averse and are single period expected utility of terminal wealth maximizers. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at ... This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
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