Asset Pricing and Portfolio Performance: Models, Strategy, and Performance Metrics

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Robert A. Korajczyk
Risk Books, 1999 - Capital assets pricing model - 384 pages
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A comprehensive reference work presenting an original framework for evaluating observed differences in returns across assets.

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Contents

A Theory of Market Equilibrium Under Conditions of Risk
3
An Intertemporal Capital Asset Pricing Model
23
The Arbitrage Theory of Capital Asset Pricing
41
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