Capital Asset Pricing Model in the 21st Century (Hardcover)
 
作者: Haim Levy 
書城編號: 459205


售價: $1660.00

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出版社: Cambridge University Press
出版日期: 2011/10/31
尺寸: 236x159x32mm
重量: 0.84 kg
ISBN: 9781107006713
 
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商品簡介
The Capital Asset Pricing Model (CAPM) and the mean-variance (M-V) rule, which are based on classic expected utility theory, have been heavily criticized theoretically and empirically. The advent of behavioral economics, prospect theory and other psychology-minded approaches in finance challenges the rational investor model from which CAPM and M-V derive. Haim Levy argues that the tension between the classic financial models and behavioral economics approaches is more apparent than real. This book aims to relax the tension between the two paradigms. Specifically, Professor Levy shows that although behavioral economics contradicts aspects of expected utility theory, CAPM and M-V are intact in both expected utility theory and cumulative prospect theory frameworks. There is furthermore no evidence to reject CAPM empirically when ex-ante parameters are employed. Professionals may thus comfortably teach and use CAPM and behavioral economics or cumulative prospect theory as coexisting paradigms.
Haim Levy 作者作品表

eBook: Stochastic Dominance: Investment Decision Making under Uncertainty (DRM PDF)

eBook: Stochastic Dominance: Investment Decision Making under Uncertainty (DRM PDF)

Capital Asset Pricing Model in the 21st Century (Hardcover)

Capital Asset Pricing Model in the 21st Century (Paperback)

eBook: Stochastic Dominance: Investment Decision Making under Uncertainty (DRM PDF)

Investments (Paperback)

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