Bookcover of Alpha (investment)
Booktitle:

Alpha (investment)

Investment, Capital asset pricing model, Security characteristic line, Root of a function, Active management

Log Press (2012-05-09 )

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ISBN-13:

978-613-6-55601-7

ISBN-10:
6136556014
EAN:
9786136556017
Book language:
English
Blurb/Shorttext:
Please note that the content of this book primarily consists of articles available from Wikipedia or other free sources online. Alpha is a risk-adjusted measure of the so-called active return on an investment. It is the return in excess of the compensation for the risk borne, and thus commonly used to assess active managers' performances. Often, the return of a benchmark is subtracted in order to consider relative performance, which yields Jensen's alpha. The alpha coefficient (αi) is a parameter in the capital asset pricing model (CAPM). It is the intercept of the security characteristic line (SCL), that is, the coefficient of the constant in a market model regression. It can be shown that in an efficient market, the expected value of the alpha coefficient is zero. Therefore the alpha coefficient indicates how an investment has performed after accounting for the risk it involved.
Publishing house:
Log Press
Website:
http://www.alphascript-publishing.com
Edited by:
Terrence James Victorino
Number of pages:
56
Published on:
2012-05-09
Stock:
Available
Category:
Business management
Price:
29.00 €
Keywords:
Pricing, security, Model, investment, Capital, Asset, Characteristic

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