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Risk Return Analysis of Selected BSE AUTO Company

Risk Return Analysis of Selected BSE AUTO Company


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About the Book

We present a model of a financial market in which immature diversification, based simply on portfolio size and obtained as a consequence of the law of large numbers, is distinguished from efficient diversification, based on mean-variance analysis. This distinction yields a valuation formula involving only the essential risk embodied in an asset's return, where the overall risk can be decomposed into a systematic and an unsystematic part, as in the arbitrage pricing theory; and the systematic component further decomposed into an essential and an inessential part, as in the capital-asset- pricing model.The two theories are thus unified, and their individual asset-pricing formulas shown to be equivalent to the pervasive economic principle of no arbitrage. The factors in the model are endogenously chosen by a procedure analogous to the Karhunen-Loéve expansion of continuous time stochastic processes; it has an optimality property justifying the use of a relatively small number of them to describe the underlying correlation structures. Because the difficulties in the formulation of the law of large numbers with a standard continuum of random variables are well known, the model uncovers


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Product Details
  • ISBN-13: 9786202552806
  • Publisher: KS Omniscriptum Publishing
  • Publisher Imprint: LAP Lambert Academic Publishing
  • Height: 229 mm
  • No of Pages: 64
  • Spine Width: 4 mm
  • Width: 152 mm
  • ISBN-10: 6202552808
  • Publisher Date: 13 May 2020
  • Binding: Paperback
  • Language: English
  • Returnable: N
  • Weight: 154 gr


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