The CAPM is alive and well: A review and synthesis
H Levy - European Financial Management, 2010 - Wiley Online Library
Abstract Mean‐Variance (M‐V) analysis and the CAPM are derived in the expected utility
framework. Behavioural Economists and Psychologists (BE&P) advocate that expected utility …
framework. Behavioural Economists and Psychologists (BE&P) advocate that expected utility …
[BOOK][B] The capital asset pricing model in the 21st century: analytical, empirical, and behavioral perspectives
H Levy - 2011 - books.google.com
The Capital Asset Pricing Model (CAPM) and the mean-variance (MV) rule, which are based
on classic expected utility theory, have been heavily criticized theoretically and empirically …
on classic expected utility theory, have been heavily criticized theoretically and empirically …
The market portfolio may be mean/variance efficient after all: The market portfolio
M Levy, R Roll - The Review of Financial Studies, 2010 - academic.oup.com
Numerous studies have examined the mean/variance efficiency of various market proxies by
employing sample parameters and have concluded that these proxies are inefficient. These …
employing sample parameters and have concluded that these proxies are inefficient. These …
[BOOK][B] Theory and reality în financial economics: essays toward a new political finance
GM Frankfurter - 2007 - books.google.com
The current literature on financial economics is dominated by neoclassical dogma and,
supposedly, the notion of value-neutrality. However, the failure of neoclassical economics to …
supposedly, the notion of value-neutrality. However, the failure of neoclassical economics to …
A time diversification approach to the emerging stock markets of Latin America: Argentina, Brazil, Chile, and Mexico
M Ratner, H Arbeláez, R Leal - The International Executive, 1997 - Wiley Online Library
This article provides the analytical basis for the adoption of a longer view to portfolio
diversification in Latin America. The benefits to be gained through time diversification are …
diversification in Latin America. The benefits to be gained through time diversification are …
On the Spurious Correlation Between Sample Betas and Mean Returns
M Levy - Applied Mathematical Finance, 2012 - Taylor & Francis
Cornerstone asset pricing models, such as capital asset pricing model (CAPM) and
arbitrage pricing theory (APT), yield theoretical predictions about the relationship between …
arbitrage pricing theory (APT), yield theoretical predictions about the relationship between …