Matches in SemOpenAlex for { <https://semopenalex.org/work/W2765973896> ?p ?o ?g. }
Showing items 1 to 70 of
70
with 100 items per page.
- W2765973896 abstract "Prof, Andre Perold has shown how the Capital Asset Pricing Model (with implications for asset pricing and risk-adjusted performance) can be derived from maximizing the Sharpe ratio as opposed to the traditional approach of assuming that investors maximize the utility of wealth. More recently, Goals-based Investing (GBI) is becoming the norm for investors and Prof. Robert Merton has suggested that theory needs to accommodate the fact that investors maximize relative (wealth divided by the present value of the goal) and not absolute wealth. Individuals save for a range of goals (e.g., retirement, a child’s college expenses) and each has a unique set of cash flows. The paper first argues for the creation of a new class of relative risk-free fixed income securities for each goal as proposed for a number of countries by Prof. Merton. These instruments will typically be interest-only real bonds (linked to the appropriate inflation index), with a forward start date, and pay coupons for the period required for the respective goal. The second contribution of this paper is to use the Perold approach and show that with two such goals/instruments and the traditional risk-free asset, all risky assets can be priced and optimal asset allocation recommendations derived, without requiring a formal utility function, risk aversion parameter or market portfolio. All that is needed is the assumption that investors maximize risk-adjusted returns relative to the goal-replicating asset and specify risk goals much like traditional investors would specify. The asset pricing model is derived from the simple idea that a relatively risk-free asset for one goal is a risky asset for another, and hence these two assets, plus the absolute risk-free rate allow us to triangulate to establish returns for all other assets. This approach also lends itself easily to an asset pricing model with heterogeneous investors and effective risk-adjusted performance measures." @default.
- W2765973896 created "2017-11-10" @default.
- W2765973896 creator A5013995635 @default.
- W2765973896 date "2017-01-01" @default.
- W2765973896 modified "2023-09-27" @default.
- W2765973896 title "A Very Simple Goals - and Risk-Based Asset Pricing Model (or Asset Pricing with Heterogeneous Investors)" @default.
- W2765973896 doi "https://doi.org/10.2139/ssrn.3051726" @default.
- W2765973896 hasPublicationYear "2017" @default.
- W2765973896 type Work @default.
- W2765973896 sameAs 2765973896 @default.
- W2765973896 citedByCount "0" @default.
- W2765973896 crossrefType "journal-article" @default.
- W2765973896 hasAuthorship W2765973896A5013995635 @default.
- W2765973896 hasConcept C106159729 @default.
- W2765973896 hasConcept C139819358 @default.
- W2765973896 hasConcept C139938925 @default.
- W2765973896 hasConcept C151541453 @default.
- W2765973896 hasConcept C162118730 @default.
- W2765973896 hasConcept C162324750 @default.
- W2765973896 hasConcept C167626555 @default.
- W2765973896 hasConcept C169029255 @default.
- W2765973896 hasConcept C181236170 @default.
- W2765973896 hasConcept C185632549 @default.
- W2765973896 hasConcept C2777302077 @default.
- W2765973896 hasConcept C2780821815 @default.
- W2765973896 hasConcept C38652104 @default.
- W2765973896 hasConcept C41008148 @default.
- W2765973896 hasConcept C76178495 @default.
- W2765973896 hasConceptScore W2765973896C106159729 @default.
- W2765973896 hasConceptScore W2765973896C139819358 @default.
- W2765973896 hasConceptScore W2765973896C139938925 @default.
- W2765973896 hasConceptScore W2765973896C151541453 @default.
- W2765973896 hasConceptScore W2765973896C162118730 @default.
- W2765973896 hasConceptScore W2765973896C162324750 @default.
- W2765973896 hasConceptScore W2765973896C167626555 @default.
- W2765973896 hasConceptScore W2765973896C169029255 @default.
- W2765973896 hasConceptScore W2765973896C181236170 @default.
- W2765973896 hasConceptScore W2765973896C185632549 @default.
- W2765973896 hasConceptScore W2765973896C2777302077 @default.
- W2765973896 hasConceptScore W2765973896C2780821815 @default.
- W2765973896 hasConceptScore W2765973896C38652104 @default.
- W2765973896 hasConceptScore W2765973896C41008148 @default.
- W2765973896 hasConceptScore W2765973896C76178495 @default.
- W2765973896 hasLocation W27659738961 @default.
- W2765973896 hasOpenAccess W2765973896 @default.
- W2765973896 hasPrimaryLocation W27659738961 @default.
- W2765973896 hasRelatedWork W1172692783 @default.
- W2765973896 hasRelatedWork W1489773531 @default.
- W2765973896 hasRelatedWork W1517304435 @default.
- W2765973896 hasRelatedWork W1539766995 @default.
- W2765973896 hasRelatedWork W1559691839 @default.
- W2765973896 hasRelatedWork W1966210009 @default.
- W2765973896 hasRelatedWork W1998874686 @default.
- W2765973896 hasRelatedWork W2094091672 @default.
- W2765973896 hasRelatedWork W2101878773 @default.
- W2765973896 hasRelatedWork W2107982465 @default.
- W2765973896 hasRelatedWork W2109762339 @default.
- W2765973896 hasRelatedWork W2123227539 @default.
- W2765973896 hasRelatedWork W2153008882 @default.
- W2765973896 hasRelatedWork W2239229757 @default.
- W2765973896 hasRelatedWork W2264292747 @default.
- W2765973896 hasRelatedWork W2267703516 @default.
- W2765973896 hasRelatedWork W2684897053 @default.
- W2765973896 hasRelatedWork W3021540386 @default.
- W2765973896 hasRelatedWork W3138074464 @default.
- W2765973896 hasRelatedWork W3171643701 @default.
- W2765973896 isParatext "false" @default.
- W2765973896 isRetracted "false" @default.
- W2765973896 magId "2765973896" @default.
- W2765973896 workType "article" @default.