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Capital Market Theory and Portfolio Risk Measures

  • Arlie O. Petters
  • Xiaoying Dong
Chapter
Part of the Springer Undergraduate Texts in Mathematics and Technology book series (SUMAT)

Abstract

This chapter is a continuation and extension of modern portfolio theory presented in Chapter 3, with an emphasis on risk measures and risk management of a portfolio. It introduces the capital asset pricing model (CAPM), linear factor models, and several approaches to portfolio risk measures such as value-at-risk, conditional value-at-risk and the concept of coherent risk measures, as well as a variety of portfolio evaluation techniques such as the alpha and beta, the Sharpe ratio, the Sortino ratio and maximum drawdown. The introduction to factor models is brief and from intuitive perspective.

Keywords

Risk Measure Risk Premium Excess Return Sharpe Ratio Capital Asset Price Model 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Arlie O. Petters and Xiaoying Dong 2016

Authors and Affiliations

  • Arlie O. Petters
    • 1
  • Xiaoying Dong
    • 1
  1. 1.Department of MathematicsDuke UniversityDurhamUSA

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