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portada The Capital Asset Pricing Model in the 21St Century Hardback
Type
Physical Book
Author
Publisher
Year
2011
Language
English
Pages
442
Format
Hardcover
Dimensions
23.1 x 16.0 x 3.6 cm
Weight
0.84 kg.
ISBN
1107006716
ISBN13
9781107006713
Categories

The Capital Asset Pricing Model in the 21St Century Hardback

Haim Levy (Author) · Cambridge University Press · Hardcover

The Capital Asset Pricing Model in the 21St Century Hardback - Levy, Haim

New Book Imported to New Zealand
Delivery: 07 Jul - 14 Jul Shipping: 4 to 5 business days.
NZ$ 400.44
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NZ$ 400.44

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Synopsis "The Capital Asset Pricing Model in the 21St Century Hardback "

The Capital Asset Pricing Model (CAPM) and the mean-variance (M-V) rule, which are based on classic expected utility theory, have been heavily criticized theoretically and empirically. The advent of behavioral economics, prospect theory and other psychology-minded approaches in finance challenges the rational investor model from which CAPM and M-V derive. Haim Levy argues that the tension between the classic financial models and behavioral economics approaches is more apparent than real. This book aims to relax the tension between the two paradigms. Specifically, Professor Levy shows that although behavioral economics contradicts aspects of expected utility theory, CAPM and M-V are intact in both expected utility theory and cumulative prospect theory frameworks. There is furthermore no evidence to reject CAPM empirically when ex-ante parameters are employed. Professionals may thus comfortably teach and use CAPM and behavioral economics or cumulative prospect theory as coexisting paradigms.

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