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A Chanceconstraint Programming Approach to the Capital Pricing Model

A Chanceconstraint Programming Approach to the Capital Pricing Model A probabilistic setting is utilised in order to explain capital asset pricing, and an alternative expression for the betarisk premium of the Standard Capital AssetPricing Model CAPM is derived. It is shown that the extended betacoefficient has the potential to explain the companysize effect and the tendency towards underestimation of the systematic risk within the standard CAPM framework. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Kybernetes Emerald Publishing

A Chanceconstraint Programming Approach to the Capital Pricing Model

Kybernetes , Volume 20 (5): 8 – May 1, 1991

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Publisher
Emerald Publishing
Copyright
Copyright © Emerald Group Publishing Limited
ISSN
0368-492X
DOI
10.1108/eb005898
Publisher site
See Article on Publisher Site

Abstract

A probabilistic setting is utilised in order to explain capital asset pricing, and an alternative expression for the betarisk premium of the Standard Capital AssetPricing Model CAPM is derived. It is shown that the extended betacoefficient has the potential to explain the companysize effect and the tendency towards underestimation of the systematic risk within the standard CAPM framework.

Journal

KybernetesEmerald Publishing

Published: May 1, 1991

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