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October 1, 2026
HSE Researchers Show How Congenital Motor Disorders Affect Brain Development
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CAPM-Like Model and the Special Form of the Utility Function

Корпоративные финансы. 2012. № 1. С. 33–36.
Дранев Юрий Яковлевич

The variance and semivariance are traditional measures of asset returns volatility since Markowitz proposed the market portfolio theory. Well known models for expected asset returns were developed under assumptions of mean-variance or mean-semivariance investor’s behavior. But numerous papers provided arguments against these models because of unrealistic assumptions and controversial empiric evidence. More complicated models with downside risk measures experienced difficulties with applications. The new model based on the special form of the investor’s utility function is proposed in this paper.

Research target: Mathematics Economics and Management
Priority areas: economics
Language: Russian
Full text
Keywords: функция полезностиutilityasset pricingdownside risk measurecross-entropyценообразование активоводносторонняя мера рискакросс-энтропиярынки капиталов
Publication based on the results of:
Research on the Corporate Financial Decisions of Russian Companies and Companies of other Emerging Capital Markets under Pressure of the Global Transformation of Capital Markets and the Formation of an Innovation Economy (2012)
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