An arbitrary benchmark CAPM : one additional frontier portfolio is sufficient

Research, Preprint English OPEN
Ekern, Steinar;
  • Publisher: Norwegian School of Economics and Business Administration. Department of Finance and Management Science
  • Journal: issn: 1500-4066
  • Publisher copyright policies & self-archiving
  • Subject: Benchmark; CAPM; non-frontier portfolio; zero beta portfolio; composite beta | non-frontier portfolio | CAPM | :Samfunnsvitenskap: 200::Økonomi: 210::Samfunnsøkonomi: 212 [VDP] | zero beta portfolio | composite beta | benchmark
    • jel: jel:G12 | jel:G11 | jel:G10

First draft: July 16, 2008 This version: October 7, 2008 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 a... View more
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