Vol. 22, No. 1, 2024 Yu (Ben) Meng, Anne Simpson, Anna Snider and Christina Yi The missing “I’s” of information and incentives have restrained the potential of the capital markets in previous decades to respond to the growing demand for climate solutions. Progress on both fronts in recent years, however, is moving us rapidly beyond… Read more
2024
Limiting Investment Opportunity Sets, Asset Pricing, and the Roll Critique
Vol. 22, No. 1, 2024 Bob Korkie and H. J. Turtle We consider the impact of low volatility assets on the investment opportunity set (IOS) and resultant asset pricing. The limiting IOS and its finite investable proxy imply an asset pricing model that differs from standard asset pricing models. The Sharpe (1964)–Lintner (1965) CAPM with… Read more
Practitioner’s Digest
Vol. 22, No. 1, 2024 View PDF… Read more