A group of our advisors attended a conference this past fall sponsored by Dimensional Fund Advisors. In his talk, "Risk Dimensions of the Market," Eugene F. Fama reviewed the latest data on the ...
One of the key insights of the CAPM is that it answers an important investment question: "What is the expected return if I purchase security XYZ?" The assumption that Sharpe built into the model is ...
The existing literature demonstrates that under a general equilibrium model, the performance of the Capital Asset Pricing Model (CAPM) can be improved significantly by using conditional consumption ...
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