CAPM - Capital Asset Pricing Model
|8 Dec 2011||Stuart Kozola||
Using CAPM, you can calculate the expected return for a given asset by estimating its beta from past performance, the current risk-free (or low-risk) interest rate, and an estimate of the average market return.
In MATLAB, you can estimate the parameters of CAPM using regression functions from Statistics Toolbox. A common pitfall in estimating beta from historical data sets can arise when the data set is incomplete, or contains missing data. Financial Toolbox provides missing data estimation functions that reduce this type of estimation risk for CAPM.
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