2. The Creation of the Standard Risk-Return Model

  1. Eric Falkenstein

Published Online: 29 NOV 2011

DOI: 10.1002/9781118266939.ch2

Finding Alpha: The Search for Alpha When Risk and Return Break Down

Finding Alpha: The Search for Alpha When Risk and Return Break Down

How to Cite

Falkenstein, E. (2009) The Creation of the Standard Risk-Return Model, in Finding Alpha: The Search for Alpha When Risk and Return Break Down, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9781118266939.ch2

Publication History

  1. Published Online: 29 NOV 2011
  2. Published Print: 15 JUN 2009

ISBN Information

Print ISBN: 9780470445907

Online ISBN: 9781118266939

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Keywords:

  • standard risk-return model;
  • Danny Kahneman;
  • capital asset pricing model;
  • stochastic discount factor;
  • marginal revolution

Summary

This chapter contains sections titled:

  • The CAPM

  • The Arbitrage Pricing Theory (APT)

  • The Stochastic Discount Factor (SDF)

  • Adding Non-Normality

  • The Uncertainty Revival

  • CAPM: A Special Case of the Stochastic Discount Factor Model