Postmodern Portfolio Theory by James Ming Chen

Author:James Ming Chen
Language: eng
Format: epub
Publisher: Palgrave Macmillan US, New York

11Tim Bollerslev, Robert F. Engle & Jeffrey M. Wooldridge, A Capital Asset Pricing Model with Time-Varying Covariances, 96 J. Pol. Econ. 116–131 (1988).

12James N. Bodurtha, Jr. & Nelson C. Mark, Testing the CAPM with Time-Varying Risks and Returns, 46 J. Fin. 1485–1505 (1991).

13Jagannathan & Wang, supra note 2, at 6; see also Haim Levy, The Capital Asset Pricing Model in the 21st Century: Analytical, Empirical, and Behavioral Perspectives 179 (2012) (“If … the various parameters do not change with the flow of information, the conditional CAPM collapses to the stable CAPM.”).

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