Description Usage Arguments Value Author(s) Examples
This function estimates the Sharpe-Lintner CAPM model as follows:
Z_t = α + β Z_{mt} + \varepsilon_t.
where Z_t is the excess returns for N assets, Z_{mt} is the excess return of the market portfolio.
1 | EstCAPM(mZ, vZm)
|
mZ |
matrix of the excess returns for N assets with dimension T by N. |
vZm |
vector of the excess returns of the market portfolio. |
a list containing the following results:
alpha |
estimated alpha. |
beta |
estimated market beta. |
mE |
matrix of the residuals. |
Sigma |
estimated covariance matrix of the errors. |
Yukai Yang, yukai.yang@statistik.uu.se
1 2 3 4 5 6 7 8 | mR = portfolio_m[,25:124]
vRm = portfolio_m[,3]
vRf = portfolio_m[,4]
mZ = mR - c(vRf)
vZm = vRm - c(vRf)
ret = EstCAPM(mZ, vZm)
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