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A Chance‐constraint Programming Approach to the Capital Pricing Model

Ralf Östermark (Åbo Akademi University, Department of Business Administration, Henriksgatan 7, 20500 Åbo 50, Finland)

Kybernetes

ISSN: 0368-492X

Article publication date: 1 May 1991

Abstract

A probabilistic setting is utilised in order to explain capital asset pricing, and an alternative expression for the beta‐risk premium of the Standard Capital Asset‐Pricing Model (CAPM) is derived. It is shown that the extended beta‐coefficient has the potential to explain the company‐size effect and the tendency towards underestimation of the systematic risk within the standard CAPM framework.

Keywords

Citation

Östermark, R. (1991), "A Chance‐constraint Programming Approach to the Capital Pricing Model", Kybernetes, Vol. 20 No. 5, pp. 42-49. https://doi.org/10.1108/eb005898

Publisher

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MCB UP Ltd

Copyright © 1991, MCB UP Limited