Μέτρα αποτελεσματικότητας κάνοντας χρήση του συντελεστή βήτα με ημιδιακύμανση
Portfolio performance using the beta coefficient with semivariance
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Keywords
Ασύμμετρες αποδόσεις ; Ημιδιακύμανση ; Καθοδικός συντελεστής βήτα ; Καθοδικός κίνδυνος ; D-CAPM ; Μοντέλο MLPM ; Μέτρα αποτελεσματικότηταςAbstract
This study presents the capital asset pricing models and the performance measures in the downside risk framework as an alternative to traditional CAPM and traditional performance measures respectively. The investors often associate the risk to the obtaining of returns lower than the target return, whereas returns superior to the target are not considered as risk.
Our purpose is to show that the capital asset pricing models in the downside risk framework describe better the valuation of assets. Similarly, to examine the results of the downside performance measures compare to the traditional measures. The study focuses on the European market, namely the examination of 21 European markets using daily stock market indices.
First, we compare the traditional CAPM to the MLPM and the D-CAPM models. Second, we compare the traditional performance measures to the alternative measures, which are based on the downside risk framework and the use of semivariance and the downside beta.
Postgraduate Studies Programme
Αναλογιστική Επιστήμη και Διοικητική ΚινδύνουDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής ΕπιστήμηςNumber of pages
169Language
GreekCollections
Except where otherwise noted, this item's license is described as
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές