Documentos de trabajo
A CAPM with higher moments: theory and econometrics
Fecha
1997-10-01Registro en:
0104-8910
Autor
Athayde, Gustavo M. de
Flôres Junior, Renato Galvão
Institución
Resumen
We develop portfolio choice theory taking into consideration the first p~ moments of the underIying assets distribution. A rigorous characterization of the opportunity set and of the efficient portfolios frontier is given, as well as of the solutions to the problem with a general utility function and short sales allowed. The extension of c1assical meanvariance properties, like two-fund separation, is also investigated. A general CAPM is derived, based on the theoretical foundations built, and its empirical consequences and testing are discussed