European Journal of Operational Research ( IF 6.4 ) Pub Date : 2021-07-11 , DOI: 10.1016/j.ejor.2021.07.012 Moshe Levy 1
The inter-temporal Capital Asset Pricing Model (CAPM) assumes that investors are risk-averse. However, there is a very large body of empirical and experimental evidence documenting that many investors are not globally risk-averse: Prospect Theory and aspiration-level models are two well-known examples of this literature. This paper employs Stochastic Dominance criteria to generalize the inter-temporal CAPM for all investors with increasing utility functions. Another advantage of the proposed approach is its simplicity: it does not require dynamic programming, and it allows for ambiguous investment horizons.
中文翻译:
基于一阶随机优势的跨时capm
跨期资本资产定价模型 (CAPM) 假设投资者厌恶风险。然而,有大量经验和实验证据表明,许多投资者并非全球范围内的风险厌恶者:前景理论和愿望水平模型是该文献的两个众所周知的例子。本文采用随机优势标准来概括所有具有增加效用函数的投资者的跨期 CAPM。所提出的方法的另一个优点是它的简单性:它不需要动态规划,并且允许不明确的投资范围。