Serving the Quantitative Finance Community
excess return
Hello'What is the definition of "excess return of an asset "?thanks.
excess return
the excess return of an asset is the return over a risk free rate. In the CAPM the expected return of an asset is couched in terms of the excess return of the "market" as follows:E(r) - rf = beta * (E(rm) - rf) + epsIn a futures based investment strategy the returns from the strategy are "excess" returns as the futures price contains the risk free rate.
knowledge comes, wisdom lingers
excess return
Quotethe excess return of an asset is the return over a risk free rate.where risk free rate is not strictly defined.funny link hansi.
Last edited by tags on September 26th, 2012, 10:00 pm, edited 1 time in total.
excess return
QuoteOriginally posted by: Hansihttp://bit.ly/VO9xXLL O L !Thanks for posting this.
excess return
QuoteOriginally posted by: edouardQuotethe excess return of an asset is the return over a risk free rate.where risk free rate is not strictly defined.I believe it is - whether you can find it in the real world or not is another matter.
knowledge comes, wisdom lingers
