CAPM, Risk and Portfolio Selection in "alpha-Stable Markets"
Belkacem, Lotfi ; Lévy-Vehel, Jacques ; Walter, Christian
HAL, inria-00599259 / Harvested from HAL
Our main purpose in this paper is to derive the generalized equilibrium relationship between risk and return under the assumption that the asset returns follow a joint symmetric \alpha-stable distribution, with 1< \alpha <2. In order to justify such an investigation, we start by empirically evidencing the fractal structure of stocks market through extensive tests of self-similarity and stability. These tests allow us to model price changes with \alpha-stable distributions. We then show that equilibrium rates of return on all risky assets are functions of their covariation with the market portfolio. The "stable" CAPM highlights a new measure of the quantity of risk which may be interpreted as a generalized beta coefficient.
Publié le : 2000-07-05
Classification:  [MATH.MATH-PR]Mathematics [math]/Probability [math.PR]
@article{inria-00599259,
     author = {Belkacem, Lotfi and L\'evy-Vehel, Jacques and Walter, Christian},
     title = {CAPM, Risk and Portfolio Selection in "alpha-Stable Markets"},
     journal = {HAL},
     volume = {2000},
     number = {0},
     year = {2000},
     language = {en},
     url = {http://dml.mathdoc.fr/item/inria-00599259}
}
Belkacem, Lotfi; Lévy-Vehel, Jacques; Walter, Christian. CAPM, Risk and Portfolio Selection in "alpha-Stable Markets". HAL, Tome 2000 (2000) no. 0, . http://gdmltest.u-ga.fr/item/inria-00599259/