8. Why Relative Utility Generates Zero-Risk Premiums

  1. Eric Falkenstein

Published Online: 29 NOV 2011

DOI: 10.1002/9781118266939.ch8

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) Why Relative Utility Generates Zero-Risk Premiums, in Finding Alpha: The Search for Alpha When Risk and Return Break Down, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9781118266939.ch8

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:

  • zero-risk premiums;
  • mean portfolio;
  • volatility;
  • small stocks;
  • Eugene Fama

Summary

This chapter contains sections titled:

  • Benchmark Risk

  • Why Relative Risk Leads to no Risk Premium