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Market Price of Risk

   Also found in: Wikipedia 0.01 sec.
Market price of risk
A measure of the extra return, or risk premium, that investors demand to bear risk. The reward-to-risk ratio of the market portfolio.
Sharpe Benchmark
In financial econometrics, a model for a portfolio's performance that attempts to account for a money manager's index-like tendencies. In other words, the Sharpe benchmark attempts to statistically calculate whether a portfolio's success was due to good management or the taking of excessive risk. The model measures a company's or portfolio's performance against a series of securities indices.
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The market price of risk must drop to reduce the optimist's demand for stock.
Asset Pricing by NBER Reporter
Several authors have recently argued that trading between investors with different degrees of risk aversion or time preference, possibly in the presence of market frictions or portfolio insurance constraints, can lead to time-variation in the market price of risk (Dumas (1989), Grossman and Zhou (1996), Wang (1996), Chan and Kogan (2002)).
Two puzzles of asset pricing and their implications for investors by Campbell, John Y. / American Economist
Given this supply response, one might view the increase in spreads as an indication that the market price of risk in the bond market had increased.
The Modigliani and Miller theorem and integration of financial markets by Titman, Sheridan / Financial Management
 
 
 
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