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Shariah-compliant Capital Asset Pricing Model: new mathematical modeling · Study

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ArticleShariah-compliant Capital Asset Pricing Model: new mathematical modeling

Abdelkader Mohamed Sghaier Derbali2017

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Shariah-compliant Capital Asset Pricing Model: new mathematical modeling

Abdelkader Mohamed Sghaier Derbali · Abderrazek El Khaldi · Fathi Jouini

30 citations·0/0 files stored·Journal of Asset Management

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Islamic Finance and Banking Studies Financial Markets and Investment Strategies Stock Market Forecasting Methods

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References

1993Common risk factors in the returns on stocks and bonds 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1997On Persistence in Mutual Fund Performance 1992The Cross-Section of Expected Stock Returns 1952PORTFOLIO SELECTION*1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1976The arbitrage theory of capital asset pricing 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]

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Year2017

Typearticle

Published2017-05-08

VenueJournal of Asset Management

ISSN-L1470-8272

Languageen

Citations30

Files0 public / 0

ShelfIslamic Finance and Banking Studies

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doi10.1057/s41260-017-0051-x

openalex_workW2613664720

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