En la frontera de media-desviación estándar
This paper presents a characterization of the meanstandard deviation frontier (MSF) in terms of pricing and averaging securities and explores the geometry of these securities relative to the geometry of the MSF. A summary of already known results is presented along with proof of new results. A measu...
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| Formato: | Online |
| Idioma: | inglés |
| Editor: |
El Colegio de México, A.C.
1996
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| Acceso en línea: | https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/253 |
| Revista: |
Estudios Económicos |
| Sumario: | This paper presents a characterization of the meanstandard deviation frontier (MSF) in terms of pricing and averaging securities and explores the geometry of these securities relative to the geometry of the MSF. A summary of already known results is presented along with proof of new results. A measure of the distance between two mean-standard deviation frontiers is presented here. This measure is related to asset pricing models which imply that security prices can be represented by a stochastic discount factor, such as the CAP M (Capital Asset Pricing Model) and the APT (Arbitrage Pricing Theory). An application is given in which the distance between two specific frontiers can be interpreted as a measure of model misspecification. |
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