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CAPM und systematisches bzw. unsystematisches Risiko unter Kurssprüngen

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Operations Research Proceedings 1999

Part of the book series: Operations Research Proceedings 1999 ((ORP,volume 1999))

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Summary

Stocks’ risk premiums under combined jump and diffusion risk are a linear combination of the risk premium of the "classical" market portfolio and the premium of a jump-induced correction fund. Moreover, firm-specific jump risk is completely systematic. The unsystematic part of stocks’ return variances stem solely from normal price vibrations.

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Literatur

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Author information

Authors and Affiliations

  1. Universität Passau, Germany

    Bernhard Nietert

Authors
  1. Bernhard Nietert
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Editor information

Editors and Affiliations

  1. Fakultät für Wirtschaftswissenschaft, Otto-von-Guericke-Universität Magdeburg, Universitätsplatz 2, D-39106, Magdeburg, Germany

    Karl Inderfurth  & Gerhard Schwödiauer  & 

  2. Fachbereich Rechts- und Wirtschaftswissenschaften, Technische Universität Darmstadt, Hochschulstr. 1, D-64289, Darmstadt, Germany

    Wolfgang Domschke

  3. Fakultät für Mathematik, Otto-von-Guericke-Universität Magdeburg, Universitätsplatz 2, D-39106, Magdeburg, Germany

    Friedrich Juhnke

  4. Wirtschaftswissenschaftliche Fakultät, Universität Passau, Innstr. 29, D-90030, Passau, Germany

    Peter Kleinschmidt

  5. Wirtschaftswissenschaftliche Fakultät, Martin-Luther-Universität Halle-Wittenberg, Große Steinstr. 73, D-06108, Halle/Saale, Germany

    Gerhard Wäscher

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© 2000 Springer-Verlag Berlin Heidelberg

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Nietert, B. (2000). CAPM und systematisches bzw. unsystematisches Risiko unter Kurssprüngen. In: Inderfurth, K., Schwödiauer, G., Domschke, W., Juhnke, F., Kleinschmidt, P., Wäscher, G. (eds) Operations Research Proceedings 1999. Operations Research Proceedings 1999, vol 1999. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-58300-1_49

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  • DOI: https://doi.org/10.1007/978-3-642-58300-1_49

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-67094-0

  • Online ISBN: 978-3-642-58300-1

  • eBook Packages: Springer Book Archive

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