The Nature of Market Growth, Risk, and Return

The Nature of Market Growth, Risk, and Return

In the model of asset appreciation advanced here, the market economy and the market of asset claims on the economy are modeled as organic (or exponential growth) processes, similar to those commonly seen in nature and the biological sciences. In "Dempsey's organic growth model of appreciat...

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Veröffentlicht in:Financial Analysts Journal. - The Financial Analysts Federation, 1960. - 58(2002), 3, Seite 45-59
Format: Online-Aufsatz
Sprache:English
Veröffentlicht: 2002
Zugriff auf das übergeordnete Werk:Financial Analysts Journal
Schlagworte:Investment Theory: CAPM, APT, and other pricing theories Investment Theory: other Portfolio Management: asset allocation Economics Mathematics Business
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520 |a In the model of asset appreciation advanced here, the market economy and the market of asset claims on the economy are modeled as organic (or exponential growth) processes, similar to those commonly seen in nature and the biological sciences. In "Dempsey's organic growth model of appreciation" (DOGMA), investors have a log-wealth utility function. Within the framework, the market risk premium is derived as the premium that balances supply and demand among risky and risk-free assets. The model indicates that the premium is less than is indicated by ex post returns observed on U.S. stock markets. The model is consistent, however, with empirical observations that idiosyncratic risk and small company size are rewarded by the markets. In terms of the model, investors choose to allocate their portfolios long in both the risky market and the risk-free asset. Furthermore, their portfolios are independent of the investment time horizon. 
540 |a Copyright 2002 Association for Investment Management and Research 
650 4 |a Investment Theory: CAPM, APT, and other pricing theories 
650 4 |a Investment Theory: other 
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