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Full-Text Articles in Business
Evaluating Methods Of Calculating Country-Specific Market Risk Premium, Lora Taylor
Evaluating Methods Of Calculating Country-Specific Market Risk Premium, Lora Taylor
Finance Undergraduate Honors Theses
In this paper I will discuss three different methods for calculating country specific market risk premium will be discussed. The methods that will be discussed are that of a historical moving average, Aswath Damodaran’s method, and the methodology and survey results from Pablo Fernandez. The weaknesses of the different methods will also be discussed. Additionally, the CAPM model of valuation will be explained as well as the three different concepts that are used interchangeably under the term market risk premium.
Capm And Risk Parity – An Empirical Analysis On China Financial Market, Lixue Zeng
Capm And Risk Parity – An Empirical Analysis On China Financial Market, Lixue Zeng
Senior Projects Spring 2021
This article mainly discusses the effectiveness of building a risk parity model in China’s financial market. Starting from Markowitz’s Modern Portfolio Theory, this article explores the mathe- matical foundation of the Capital Asset Pricing Model (CAPM) and its limitations. By exploring the role of Sharpe ratio in CAPM and risk parity, this article proves that risk parity strategy is actually an approximation of optimal Sharpe ratio portfolio. Through an empirical analysis of the Chinese financial market, this article in the last chapter builds a proposed asset allocation portfolio based on the classic risk parity model and backtests by historical data …