An Arbitrary Benchmark CAPM: One Additional Frontier Portfolio is Sufficient

Research, Preprint OPEN
Ekern, Steinar;
  • Publisher: Norwegian School of Economics and Business Administration. Department of Finance and Management Science
  • Subject: Benchmark; CAPM; non-frontier portfolio; zero beta portfolio; composite beta | non-frontier portfolio | CAPM | zero beta portfolio | composite beta | benchmark
    • jel: jel:G12 | jel:G11 | jel:G10

The benchmark CAPM linearly relates the expected returns on an arbitrary asset, an arbitrary benchmark portfolio, and an arbitrary MV frontier portfolio. The benchmark is not required to be on the frontier and may be non-perfectly correlated with the frontier portfolio.... View more
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