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  2. Capital asset pricing model - Wikipedia

    en.wikipedia.org/wiki/Capital_asset_pricing_model

    An estimation of the CAPM and the security market line (purple) for the Dow Jones Industrial Average over 3 years for monthly data.. In finance, the capital asset pricing model (CAPM) is a model used to determine a theoretically appropriate required rate of return of an asset, to make decisions about adding assets to a well-diversified portfolio.

  3. Roll's critique - Wikipedia

    en.wikipedia.org/wiki/Roll's_critique

    Roll's critique is a famous analysis of the validity of empirical tests of the capital asset pricing model (CAPM) by Richard Roll.It concerns methods to formally test the statement of the CAPM, the equation

  4. Security market line - Wikipedia

    en.wikipedia.org/wiki/Security_market_line

    Security market line. Security market line (SML) is the representation of the capital asset pricing model.It displays the expected rate of return of an individual security as a function of systematic, non-diversifiable risk.

  5. Intertemporal CAPM - Wikipedia

    en.wikipedia.org/wiki/Intertemporal_CAPM

    Within mathematical finance, the intertemporal capital asset pricing model, or ICAPM, is an alternative to the CAPM provided by Robert Merton.It is a linear factor model with wealth as state variable that forecasts changes in the distribution of future returns or income.

  6. Consumption-based capital asset pricing model - Wikipedia

    en.wikipedia.org/wiki/Consumption-based_capital...

    The CAPM can be derived from the following special cases of the CCAPM: (1) a two-period model with quadratic utility, (2) two-periods, exponential utility, and normally-distributed returns, (3) infinite-periods, quadratic utility, and stochastic independence across time, (4) infinite periods and log utility, and (5) a first-order approximation ...

  7. Hamada's equation - Wikipedia

    en.wikipedia.org/wiki/Hamada's_equation

    In corporate finance, Hamada’s equation is an equation used as a way to separate the financial risk of a levered firm from its business risk. The equation combines the Modigliani–Miller theorem with the capital asset pricing model.

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  9. Arbitrage pricing theory - Wikipedia

    en.wikipedia.org/wiki/Arbitrage_pricing_theory

    Proposed by economist Stephen Ross in 1976, [1] it is widely believed to be an improved alternative to its predecessor, the capital asset pricing model (CAPM). [2] APT is founded upon the law of one price, which suggests that within an equilibrium market, rational investors will implement arbitrage such that the equilibrium price is eventually ...