Skip navigation
Skip navigation

Asset pricing with partial-moments

Anthonisz, Sean


I bridge the current pricing kernel framework with the early partial-moment pricing models of the beta framework, thereby reconciling and clarifying these bodies of literature. I argue for the inclusion of powers of min and max functions within a generalized kernel, and form a generalized beta model. Polynomial kernels and the kernel underpinning the partial-moment analogue of the Sharpe-Lintner CAPM are nested. I derive the partial-moment analogue to the Black CAPM, thus completing a...[Show more]

CollectionsANU Research Publications
Date published: 2012
Type: Journal article
Source: Journal of Banking and Finance
DOI: 10.1016/j.jbankfin.2012.03.017


File Description SizeFormat Image
01_Anthonisz_Asset_pricing_with_2012.pdf455.62 kBAdobe PDF    Request a copy

Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  12 November 2018/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator