FEATURES OF THE DEVELOPMENT OF THEORETICAL AND METHODOLOGICAL FOUNDATIONS OF THE CAPITAL ASSET PRICING MODEL (CAPM)
DOI:
https://doi.org/10.47390/SPR1342V5SI2Y2025N11Keywords:
CAPM model, model components, capital market, financial market, investment decision, risk analysis, financial risk, market risk assessment, evaluation criteria, decision-making, system of restrictive conditionsAbstract
This article analyzes the Capital Asset Pricing Model (CAPM), its role in financial markets, and its significance in making investment decisions and developing strategies. The study explores the fundamental theoretical foundations of the model, its components, and mathematical equations, as well as its application in financial markets and its impact on investment processes. Additionally, the contribution of scholars to the development of CAPM, the restrictive conditions they introduced, the modelʼs adaptation to real market conditions, various modifications and alternative models, and their parameters are thoroughly examined. The article concludes with suggestions and recommendations for the effective application of the CAPM model.
References
1 E. F. Fama and K. R. French, “The Capital Asset Pricing Model: Theory and evidence,” J. Econ. Perspect., vol. 18, no. 3, pp. 25–46, 2004, doi: 10.1257/0895330042162430.
2 H. Makowitz, “Portfolio Selection,” J. Finance, vol. 7, no. 1, pp. 77–91, 1952, doi: https://doi.org/10.1111/j.1540-6261.1952.tb01525.x.
3 M. R. O. Zokirjonov, “Капитал активнинг баҳолаш модели,” “Молия” илмий журнал, vol. 1, pp. 120–125, 2018, [Online]. Available: https://tfi.uz/en/page/moliya-ilmiy-jurnali
4 О. А. Қаршиев, “Суғурта компанияларида активлар таркибини бошқариш масалалари,” Iqtisodiyot va Innov. texnologiyalar, vol. 1, no. 00057, pp. 121–133, 2022.
5 F. Q. Sindarov, “KAPITAL AKTIVLARNI BAHOLASH MODELI (CAPM) ASOSIDA INVESTITSIYA PORTFELINING DAROMADLILIGINI BAHOLASH,” Iqtisodiyot va taʼlim, vol. 1, pp. 35–41, 2024.
6 Х. Х. Худойқулов, “АКЦИЯДОРЛИК ЖАМИЯТЛАРИ КАПИТАЛИНИ БАҲОЛАШДА КАПИТАЛ АКТИВЛАР ҲИСОБЛАШ ( CAPM ) УСУЛИДАН,” Iqtisodiyot va Innov. texnologiyalar, no. 4, pp. 47–54, 2020.
7 W. F. Sharpe, “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk,” J. Finance, vol. 19, no. 3, pp. 425–442, 1964,
8 J. Lintner, “The Valuation of Risk Assets and the Selection of Risky Investment in Stock Portfolios ad Capital budgets,” 1965.
9 J. Mossin, “Equilibrium in a Capital Asset Market,” Econometrica, vol. 34, no. 4, pp. 768–783, 1966.
10 F. Black, “Capital Market Equilibrium wtih Restricted Borrowing,” J. Bus., vol. 45, no. 3, pp. 444–455, 1972
