Generalized Systematic Risk
| Autor: | Suying Liu, Ohad Kadan, Fang Liu |
|---|---|
| Rok vydání: | 2016 |
| Předmět: |
Actuarial science
050208 finance Rare disasters Computer science Financial risk Risk measure 05 social sciences Downside risk Financial risk management Axiomatic system Security market line Dynamic risk measure Multiple time dimensions 0502 economics and business Systematic risk Econometrics Capital asset pricing model 050207 economics Beta (finance) General Economics Econometrics and Finance |
| Zdroj: | American Economic Journal: Microeconomics. 8:86-127 |
| ISSN: | 1945-7685 1945-7669 |
| DOI: | 10.1257/mic.20140244 |
| Popis: | We generalize the concept of “systematic risk” to a broad class of risk measures potentially accounting for high distribution moments, downside risk, rare disasters, as well as other risk attributes. We offer two different approaches. First is an equilibrium framework generalizing the Capital Asset Pricing Model, two-fund separation, and the security market line. Second is an axiomatic approach resulting in a systematic risk measure as the unique solution to a risk allocation problem. Both approaches lead to similar results extending the traditional beta to capture multiple dimensions of risk. The results lend themselves naturally to empirical investigation. (JEL D81, G11, G12) |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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