Η σχέση μέσης απόδοσης - κινδύνου

Τραγουλιά, Βασιλική Π.

The relation between average returns and risk

Master Thesis

Author

Τραγουλιά, Βασιλική Π.

Date

2014-11

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Μεταπτυχιακή εργασία (45.04Mb)

Subject

Διαχείριση χαρτοφυλακίου ; Διαχείριση κινδύνου -- Οικονομετρικά μοντέλα ; Risk management -- Mathematical models ; Διαχείριση κινδύνου -- Στατιστικές μέθοδοι ; Risk management -- Statistical methods ; Portfolio management

Abstract

The purpose of this study is to examine the exact relationship of expected return and risk lying in three stock markets (UK, Germany and Greece) with various methods deployed in the past, while reviewing the theoretical and empirical literature on Portfolio Theory and Capital Asset Pricing Model. This study does not provide support on the validity of the linear relationship between risk and expected returns for the stock markets examined. Other factors such as the square of systematic risk, the kurtosis and the skewness of returns' distribution do not seem to explain expected returns.