8,719
Views
1
CrossRef citations to date
0
Altmetric
Research Article

CAPM with various utility functions: Theoretical developments and application to international data

& | (Reviewing Editor)
Article: 1343230 | Received 25 Feb 2017, Accepted 13 Jun 2017, Published online: 03 Jul 2017

References

  • Adcock, C. J., & Shutes, K. (1999). Portfolio selection based on the multivariate-skew normal distribution. A. M. J. Skulimowski. ed. Financial Modelling (pp. 167–177). krakow: Progress and Business Publishers. Available in 2001
  • Aït-Sahalia, Y., & Lo, A.W. (2000). Nonparametric risk management and implied risk aversion. Journal of Econometrics, 94, 9–51.
  • Arditti, F. D. (1971). Another look at mutual fund performance. Journal of Financial and Quantitative Analysis, 6, 909–912.
  • Arrow, K. J. (1971). Essays in the theory of risk bearing. Chicago, IL: Markham Publishing.
  • Bell, D. E. (1988). One-switch utility function and a measure of risk. Mangement Science, 34, 1416–1424.
  • Bell, D. E. (1995). Risk, return, and utility. Mangement Science, 41, 23–30.
  • Bellalah, M., & Selmi, F. (2002). Les fonctions d’utilit\’{e}t l’avantage informationnel des moments d’ordre sup\’{e}rieurs: application \’{a} la couverture d’options. Finance, 23, 14–27.
  • Black, F. (1972). Capital market equilibrium with restricted borrowing. Journal of Business, 45, 444–454.
  • Bliss, R. R., & Panigirtzoglou, N. (2004). Option implied risk aversion estimates. The Journal of Finance, 1, 407–446.
  • Bouchaud, J. P., & Potters, M. (1997). Theories des risques financiers. Paris: Al´ea Saclay.
  • Bouchaud, J. P., & Selmi, F. (2001). Risk business. Wilmott Magazine.
  • Chung, Y. ,Johnson & H. & SchillM. (2006). Asset pricing when returns are nonnormal: Fama French factors versus higher-order systematic co-moments. Journal of Business, 79, 923–940.
  • Cochrane, J. H., & Hansen, L. P. (1992). Asset pricing explorations for macroeconomics. L. Fischer & O. J. Blanchard (Eds), NBER macroeconomics annual. Cambridge: MIT Press.
  • Coombs, C. H., & Lehner, P. E. (1981). An evaluation of tow alternative models for a theory of risk: Part 1 (pp. 1110–1123). Human Perception and Performance: Journal Experimental Psychology.
  • Coombs, C. H., & Lehner, P. E. (1984). Conjoint design and analysis of the bilinear model: An application to judgments of risk. Journal of Mathematical Psychology, 28, 1–42.
  • Coutant, S. (1999). Implied risk aversion in option prices using hermite polynomials (CEREG Working Paper No 9908).
  • Duffie, D., & Richardson, H. R. (1991). Mean-variance hedging in continuous time. The Annals of Applied Probability, 1, 1–15.
  • Epstein, L. G., & Zin, S. E. (1991). Substitution, risk aversion, and the temporal behavior of consumption and asset returns: An empirical analysis. The Journal of Political Economy, 99, 263–286.
  • Fama, E. (1965). The behavior of stock market prices. Journal of Business, 38, 34–105.
  • Fama, E., & French, K. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33, 3–56.
  • Fama, E. F., & French, K. R. (1992). The cross-section of expected stock returns. Journal of Finance, 47, 427–465.
  • Fama, E.F., & French, K.R. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1–22.
  • Fama, E., & MacBeth, J. (1973). Risk, return, and equilibrium: Empirical tests. Journal of Political Economy, 71, 607–636.
  • Ferson, W. E., & Constantinides, G. M. (1991). Habit persistence and durability in aggregate consumption: Empirical tests. Journal of Financial Economics, 29, 199–240.
  • Fishburn, P. C. (1982). Foundations of risk measurement, I, Risk as probable loss. Mangement Science, 30, 296–406.
  • Fishburn, P. C. (1984). Foundations of risk measurement. I Risk as probable loss. Management Science, 30, 396–406.
  • Friend, I., & Blume, M. E. (1975). The demand for risky assets. American Economic Review, 65, 900–922.
  • Guidolin, M., & Timmermann, A. (2005a). Optimal portfolio choices under regime switching, skew and kurtosis preferences (Working Paper, 35 pages). Federal Reserve Bank of St Louis.
  • Guidolin, M., & Timmermann, A. (2005b). International asset allocation under regime switching, skew and kurtosis preferences (Working Paper, 54 pages). Federal Reserve Bank of St Louis.
  • Guo, H., & Whitelaw, R. F. (2001). Uncovering the risk-return relation in the stock market (Working Paper, No 2002-001A). Federal Reserve Bank of St. Louis.
  • Hansen, L. P., & Singleton, K. J. (1982). Generalized instrumental variables estimation of nonlinear rational expectations models. Econometrica, 50, 1269–1286.
  • Hansen, L. P., & Singleton, K. J. (1984). Errata. Econometrica, 52, 267–268.
  • Heston, S. L. (1993). A closed-form solution for options with stochastic volatility with applications to bond and currency options. Review of Financial Studies, 6, 327–343.
  • Jia, R., & Dyer, J. S. (1996). A standard mesure of risk and risk-value models. Mangement Science, 42, 1691–1705.
  • Jondeau, E., & Rockinger, M. (2003). How higher moments affect the allocation of asset. Finance Letters, 1(2), 1–5.
  • Jondeau, E., & Rockinger, M. (2005). Conditional asset allocation under non-normality: How costly is the Mean-Variance criterion (Working Parper, 42 pages). HEC Lausanne.
  • Jondeau, E., & Rockinger, M. (2006). Optimal portfolio allocation under higher moments. Journal of the European Financial Mangement Association, 12, 29–67.
  • Levy, H. (1969). Stochastic dominance and expected utility: Survey and analysis. Management Science, 38, 555–593.
  • Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and Capital budgets. Review of Economics and Statistics, 47, 13–37.
  • Luce, R. D. (1980). Several possible measure of risk. Theory and Decision, 12, 217–228.
  • Maillet, B., & Jurczenko, E. (2006). Theoretical foundations of higher moments when pricing assets. Multi-moment Asset Allocation and Pricing Models, 1–36.
  • Markowitz, H. M. (1952). The utility of wealth. Journal Political Economy, 60, 151–158.
  • Markowitz, H. M. (1959). Portfolio selection, efficient diversification of investment. New Haven: CT, Yale university Press.
  • Mehra, Rajnish, & Prescott, E. C. (1985). The equity premium: A puzzle. Journal of Monetary Economics, 15, 145–61.
  • Normandin, M., & St-Amour, P. (1998). Substitution, risk aversion, taste shocks and equity premia. Journal of Applied Econometrics, 13, 265–281.
  • Pollatsek, A., & Tversky, A. (1970). A theory of risk. Journal of Mathematical Psychology, 7, 540–553.
  • Rachev, S., & Mitnik, S. (2000). Stable paretian models in finance. Series in financial economics and quantitative analysis. Chechester, NY: John Wiley.
  • Roll, R. (1977). A critique of the asset pricing theory’s tests Part I: On past and potential testability of the theory. Journal of Financial Economics, 4, 129–176.
  • Rubinstein, M. (1976). The valuation of uncertain income streams and the pricing of options. Bell Journal of Economics and Management Science, 7, 407–25.
  • Sarin, R. K. (1987). Some extensions of luce’s measures of risk. Theory and Decision, 22, 25–141.
  • Scott, R., & Horvath, P. (1980). On the direction of reference for moments of higher order than the variance. Journal of Finance, 35, 915–919.
  • Shah, A., Abdullah, F., Khan, T., & Khan, S. U. (2011). Simplicity vs accuracy: The case of CAPM and Fama and French model. Australian Journal of Basic and Applied Sciences, 5, 528–535.
  • Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19, 425–442.
  • Simaan, Y. (1993). Portfolio selection and asset pricing three parameter framework. Management Science,, 5, 568–77.
  • Singleton, J. C., & Wingender, J. (1986). Skewness persistence in common stock returns. Journal of Financial and Quantitative Analysis, 21, 335–341.
  • Stone, B. (1973). A general class of three-parameter risk measures. The Journal of Finance, 28, 675–685.
  • Von Neumann, J., & Morgenstern, O. (1944). Theory of games and economic behavior (Second edition, 1947; third edition, 1953). Princeton, NJ: Princeton University Press.