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CAPM, rewards, and empirical asset pricing with coherent risk

Alexander S. Cherny·Dilip B. Madan
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Abstract

The paper has 2 main goals: 1. We propose a variant of the CAPM based on coherent risk. 2. In addition to the real-world measure and the risk-neutral measure, we propose the third one: the extreme measure. The introduction of this measure provides a powerful tool for investigating the relation between the first two measures. In particular, this gives us - a new way of measuring reward; - a new approach to the empirical asset pricing.

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math.PRq-fin.PRq-fin.RM

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BibTeXRIS

Alexander S. Cherny, Dilip B. Madan. 2006-05-02. CAPM, rewards, and empirical asset pricing with coherent risk. https://arxiv.org/abs/math/0605065

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