Abstract

ABSTRACT This analysis provides a much simpler and more intuitive derivation of Bergeron’s (2021) benchmark model. Bergeron states that there are no assumptions regarding arbitrage and equilibrium, but this analysis shows that the same result obtained under no-arbitrage equilibrium conditions. Missing from Bergeron’s analysis is an extension to Black’s (1972) zero-beta CAPM so that result is presented here. The analysis concludes with a simple empirical example highlighting the importance of choosing a benchmark that is mean-variance efficient.

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call

Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.