A generalized CAPM model with asymmetric power distributed errors with an application to portfolio construction

• Main Authors: Bao, Te, Diks, Cees, Li, Hao
• Other Authors: School of Social Sciences
• Format: Article
• Language: English
• Published: 2019
• Subjects: DRNTU::Social sciences::Economic development; CAPM; Non-Gaussian Distribution
• Online Access: https://hdl.handle.net/10356/104240; http://hdl.handle.net/10220/48608
• Institution: Nanyang Technological University

We estimate the CAPM model on European stock market data, allowing for asymmetric and fat-tailed return distributions using independent and identically asymmetric power distributed (IIAPD) innovations. The results indicate that the generalized CAPM with IIAPD errors has desirable properties. It is s...