Matches in SemOpenAlex for { <https://semopenalex.org/work/W4324143727> ?p ?o ?g. }
- W4324143727 endingPage "1394" @default.
- W4324143727 startingPage "1394" @default.
- W4324143727 abstract "The capital asset pricing model (CAPM) is often based on the Gaussianity or normality assumption. However, such an assumption is frequently violated in practical situations. In this paper, we introduce the symmetric CAPM considering distributions with lighter or heavier tails than the normal distribution. These distributions are symmetric and belong to the family of elliptical distributions. We pay special attention to the family members related to the normal, power-exponential, and Student-t cases, with the power-exponential distribution being particularly considered, as it has not been explored widely. Based on these cases, the expectation-maximization algorithm can be used to facilitate the estimation of model parameters utilizing the maximum likelihood method. In addition, we derive the leverage and local influence methods to carry out diagnostics in the symmetric CAPM. We conduct a detailed case study to apply the obtained results estimating the systematic risk of the financial assets of a Chilean company with real data. We employ the Akaike information criterion to conclude that the studied models provide better results than the CAPM under Gaussianity." @default.
- W4324143727 created "2023-03-15" @default.
- W4324143727 creator A5001589957 @default.
- W4324143727 creator A5019888277 @default.
- W4324143727 creator A5037117333 @default.
- W4324143727 creator A5086647360 @default.
- W4324143727 date "2023-03-13" @default.
- W4324143727 modified "2023-10-18" @default.
- W4324143727 title "Elliptical Capital Asset Pricing Models: Formulation, Diagnostics, Case Study with Chilean Data, and Economic Rationale" @default.
- W4324143727 cites W1828749753 @default.
- W4324143727 cites W1968259981 @default.
- W4324143727 cites W1968336704 @default.
- W4324143727 cites W1985476558 @default.
- W4324143727 cites W1991188498 @default.
- W4324143727 cites W1995834279 @default.
- W4324143727 cites W2010681793 @default.
- W4324143727 cites W2020561376 @default.
- W4324143727 cites W2041164655 @default.
- W4324143727 cites W2048402126 @default.
- W4324143727 cites W2057921321 @default.
- W4324143727 cites W2062795998 @default.
- W4324143727 cites W2074289229 @default.
- W4324143727 cites W2076083594 @default.
- W4324143727 cites W2082330181 @default.
- W4324143727 cites W2083781295 @default.
- W4324143727 cites W2085951627 @default.
- W4324143727 cites W2090637028 @default.
- W4324143727 cites W2091125462 @default.
- W4324143727 cites W2094524716 @default.
- W4324143727 cites W2109130510 @default.
- W4324143727 cites W2109542379 @default.
- W4324143727 cites W2118877090 @default.
- W4324143727 cites W2120087808 @default.
- W4324143727 cites W2142635246 @default.
- W4324143727 cites W2155233957 @default.
- W4324143727 cites W2342432233 @default.
- W4324143727 cites W2468146266 @default.
- W4324143727 cites W2537490026 @default.
- W4324143727 cites W2593352328 @default.
- W4324143727 cites W2806204220 @default.
- W4324143727 cites W2886390568 @default.
- W4324143727 cites W2918113287 @default.
- W4324143727 cites W2944648179 @default.
- W4324143727 cites W2948627764 @default.
- W4324143727 cites W2963256337 @default.
- W4324143727 cites W3035430950 @default.
- W4324143727 cites W3035855455 @default.
- W4324143727 cites W3122795563 @default.
- W4324143727 cites W3123640793 @default.
- W4324143727 cites W3124241680 @default.
- W4324143727 cites W3177732945 @default.
- W4324143727 cites W4205870371 @default.
- W4324143727 cites W4210802171 @default.
- W4324143727 cites W4239953570 @default.
- W4324143727 cites W4256431090 @default.
- W4324143727 cites W4294576893 @default.
- W4324143727 cites W4316661742 @default.
- W4324143727 cites W1985335857 @default.
- W4324143727 doi "https://doi.org/10.3390/math11061394" @default.
- W4324143727 hasPublicationYear "2023" @default.
- W4324143727 type Work @default.
- W4324143727 citedByCount "1" @default.
- W4324143727 countsByYear W43241437272023 @default.
- W4324143727 crossrefType "journal-article" @default.
- W4324143727 hasAuthorship W4324143727A5001589957 @default.
- W4324143727 hasAuthorship W4324143727A5019888277 @default.
- W4324143727 hasAuthorship W4324143727A5037117333 @default.
- W4324143727 hasAuthorship W4324143727A5086647360 @default.
- W4324143727 hasBestOaLocation W43241437271 @default.
- W4324143727 hasConcept C105795698 @default.
- W4324143727 hasConcept C126674687 @default.
- W4324143727 hasConcept C134306372 @default.
- W4324143727 hasConcept C149782125 @default.
- W4324143727 hasConcept C151376022 @default.
- W4324143727 hasConcept C153083717 @default.
- W4324143727 hasConcept C162324750 @default.
- W4324143727 hasConcept C175444787 @default.
- W4324143727 hasConcept C181236170 @default.
- W4324143727 hasConcept C2776157432 @default.
- W4324143727 hasConcept C2776330181 @default.
- W4324143727 hasConcept C33923547 @default.
- W4324143727 hasConceptScore W4324143727C105795698 @default.
- W4324143727 hasConceptScore W4324143727C126674687 @default.
- W4324143727 hasConceptScore W4324143727C134306372 @default.
- W4324143727 hasConceptScore W4324143727C149782125 @default.
- W4324143727 hasConceptScore W4324143727C151376022 @default.
- W4324143727 hasConceptScore W4324143727C153083717 @default.
- W4324143727 hasConceptScore W4324143727C162324750 @default.
- W4324143727 hasConceptScore W4324143727C175444787 @default.
- W4324143727 hasConceptScore W4324143727C181236170 @default.
- W4324143727 hasConceptScore W4324143727C2776157432 @default.
- W4324143727 hasConceptScore W4324143727C2776330181 @default.
- W4324143727 hasConceptScore W4324143727C33923547 @default.
- W4324143727 hasFunder F4320334812 @default.
- W4324143727 hasIssue "6" @default.
- W4324143727 hasLocation W43241437271 @default.
- W4324143727 hasOpenAccess W4324143727 @default.
- W4324143727 hasPrimaryLocation W43241437271 @default.