One of the most popular models that allows to price portfolios or assets is the CAPM model. During the last five decades appeared many modifications of the model such as zero-beta CAPM, consumption CAPM, etc. Economists try to adapt the model taking into account particular problems. Obtained results still confirm necessity of application of the CAPM, because it measures the level of the systematic risk that is needed for example in pricing enterprises (the cost of capital).

As first the conditional approach in estimation of the CAPM model proposed Ferson, Schadt [1996] and Ferson, Warther [1996]. In theirs papers conditional performance evaluation (CPE) was displayed as a method more appropriate for modelling expected return. The methodology assumes that portfolios structural parameters change over time.

• Legal notice:
  

  Copyright (c) Pielaszek Research, all rights reserved.
  The above materials, including auxiliary resources, are subject to Publisher's copyright and the Author(s) intellectual rights. Without limiting Author(s) rights under respective Copyright Transfer Agreement, no part of the above documents may be reproduced without the express written permission of Pielaszek Research, the Publisher. Express permission from the Author(s) is required to use the above materials for academic purposes, such as lectures or scientific presentations.
  In every case, proper references including Author(s) name(s) and URL of this webpage: https://science24.com/paper/29935 must be provided.