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A Comparison Between a Dynamic and Static Approach to Asset Management Using CAPM Models on the Australian Securities Market

机译:在澳大利亚证券市场上使用CAPM模型进行资产管理的动态和静态方法的比较

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摘要

Despite the capital asset pricing model being one of the most influential mod­els in modern portfolio theory, it has also been a victim of criticism in numerous academic papers. Its assumptions which seem to be rather unre­alistic, have caused many academics to improve the model by relaxing some of its restrictive statements. In this journal article, we compare the performance of an optimal portfolio of securities in the Australian securities market by constructing two theoretical portfolios; one using the capital asset pricing model which uses a single beta throughout a static investment horizon; and another, which allows the op­timal portfolio to be rebalanced each week with an adjusted beta. The performance of the two theoretical portfolios is compared to determine the superior model. Overall, findings showed that due to rebalancing of the portfolio, the multiple period model was the superior model based on before and after transaction cost returns.
机译:尽管资本资产定价模型是现代投资组合理论中最具影响力的模型之一,但它还是众多学术论文中批评的受害者。它的假设似乎不太现实,已引起许多学者通过放宽其限制性陈述来改进该模型。在这篇期刊文章中,我们通过构建两个理论投资组合来比较最佳证券投资组合在澳大利亚证券市场中的表现。一种使用资本资产定价模型,该模型在整个静态投资范围内使用单个beta;另一种是,可以通过调整后的贝塔系数每周重新平衡最佳投资组合。比较两个理论组合的性能,以确定高级模型。总体而言,调查结果表明,由于投资组合的重新平衡,多期间模型是基于交易成本回报前后的优良模型。

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