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The Dichotomous Asset Pricing Model

Essay specific features

 

Issue:

Business

 

Written by:

Robert M

 

Date added:

July 21, 2011

 

Level:

University

 

Grade:

A

 

No of pages / words:

6 / 1618

 

Was viewed:

704 times

 

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Essay content:

The model manages to combine mean-variance (MV) and the gain-loss (GL) approaches to portfolio selection and asset pricing by proving that a benchmark portfolio is MV and GL efficient if and only if a dichotomous asset pricing model holds. More precisely, the DAPM holds if for all assets i the following predictions are satisfied, in relation to a benchmark portfolio m: The model was so far tested and compared to the CAPM and best-beta CAPM (BCAPM) on the Fama-French 100 portfolios sorted on size and value, with significant insights...
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More precisely, the DAPM holds if for all assets i the following predictions are satisfied, in relation to a benchmark portfolio m: The model was so far tested and compared to the CAPM and best-beta CAPM (BCAPM) on the Fama-French 100 portfolios sorted on size and value, with significant insights. The aim of this paper is to repeat the analysis and test the predictive power of the DAPM for a European market, more precisely to answer the following question: Does DAPM hold for the UK stock market? UK market was chosen because of its size and trading volumes, but also because it bears most resemblances to the US one...
displayed 300 characters

General issues of this essay:
Capital Asset Pricing Model (CAPM)vs.Arbitrage Pricing Theory (APT). Capital Asset Pricing Model Capital asset pricing Gap, Inc. Portfolio Analysis Lessons Learned from Managing a Personal Stock Portfolio PORTFOLIO Portfolio Management The Dichotomous Asset Pricing Model Cookie Portfolio Portfolio Capital Asset Pricing Model (Capm)Vs.Arbitrage Pricing Theory (Apt) Decibel Portfolio Shadows Portfolio portfolio Portfolio Analysis
 

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