Separating risk and return in the CAPM: A general utility-based model

DOI10.1016/S0377-2217(99)00114-9zbMath0962.91047MaRDI QIDQ1572987

Christian S. Pedersen

Publication date: 6 August 2000

Published in: European Journal of Operational Research (Search for Journal in Brave)

zbMATH Keywords

decision theoryutility functionfinancecapital asset pricing modeltrade-offsrisk-return separation

Mathematics Subject Classification ID

Cites Work

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• Foundations of risk measurement. II. Effects of gains on risk
• An axiomatic theory of conjoint, expected risk
• Mutual fund separation in financial theory - the separating distributions
• Relative risk-value models
• Risk-value models
• One-Switch Utility Functions and a Measure of Risk
• Community Preferences and the Representative Consumer
• A Standard Measure of Risk and Risk-Value Models
• Risk, Return, and Utility

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