Abstract
In this chapter, using the concepts of portfolio analysis and the dominance principle, we derive the capital asset pricing model (CAPM). Then we show how total risk can be decomposed into systematic risk and unsystematic risk. Finally, we discuss the determination of beta and introduce different methods for forecast beta coefficient.
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Lee, CF., Finnerty, J.E., Wort, D.H. (2010). Capital Asset Pricing Model and Beta Forecasting. In: Lee, CF., Lee, A.C., Lee, J. (eds) Handbook of Quantitative Finance and Risk Management. Springer, Boston, MA. https://doi.org/10.1007/978-0-387-77117-5_6
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DOI: https://doi.org/10.1007/978-0-387-77117-5_6
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