Risk Return Analysis of Selected BSE AUTO Company

Více o knize

The book introduces a financial market model that differentiates between immature and efficient diversification, linking them through a valuation formula that captures essential risk in asset returns. It integrates principles from arbitrage pricing theory and the capital-asset-pricing model, demonstrating their equivalence to the no-arbitrage principle. The model utilizes a method akin to the Karhunen-Loève expansion to select factors, highlighting optimality while addressing challenges in applying the law of large numbers to continuous random variables.