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2
votes
1answer
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annual excess returns from CAPM on monthly total returns

I want to calculate annual excess returns on portfolios using monthly returns for a CAPM (for the assets in the portfolio as well as for the benchmark), in order to have more information on the ...
0
votes
0answers
117 views

Should the standard deviation points of CML x-axis be calculated with excess returns?

By excess returns, I'm referring to the current nominal treasury rate minus the log returns of the security. I'm working to construct a dynamic CML / CAPM application, but am uncertain how standard ...