Capital asset pricing model (CAPM)
Uncovering the hidden impact: noninvestor disagreement and its role in asset pricing
The authors investigate the link between noninvestors and financial returns using data from a social media platform.
Why multi-asset investing calls for 3G factor models
Factor models can be helpful in identifying unseen risks in investor portfolios
Tailoring risk modelling for hedge fund investors
Combining returns and positions-based models recommended
The FVA debate continues: Hull and White respond to their critics
The FVA debate continues
A historical-parametric hybrid VAR
A historical-parametric hybrid VAR
Market-consistent equity risk premiums
The capital asset pricing model used to determine excess return for a given risk level and allocate assets typically uses historical data, which can be a poor predictor of risk. By adapting the model to be consistent with market-implied distributions,…
Market-consistent equity risk premiums
Market-consistent equity risk premiums