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- W3122022804 abstract "Abstract Starting from the reward-risk model for portfolio selection introduced in De Giorgi (2005), we derive the reward-risk Capital Asset Pricing Model (CAPM) analogously to the classical mean-variance CAPM. In contrast to the mean-variance model, reward-risk portfolio selection arises from an axiomatic definition of reward and risk measures based on a few basic principles, including consistency with second-order stochastic dominance. With complete markets, we show that at any financial market equilibrium, reward-risk investors' optimal allocations are comonotonic and, therefore, our model reduces to a representative investor model. Moreover, the pricing kernel is an explicitly given, non-increasing function of the market portfolio return, reflecting the representative investor's risk attitude. Finally, an empirical application shows that the reward-risk CAPM captures the cross section of U.S. stock returns better than the mean-variance CAPM does." @default.
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- W3122022804 date "2008-06-01" @default.
- W3122022804 modified "2023-09-25" @default.
- W3122022804 title "Second-Order Stochastic Dominance, Reward-Risk Portfolio Selection, and the CAPM" @default.
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- W3122022804 doi "https://doi.org/10.1017/s0022109000003616" @default.
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