Wow what an overwhelming response -_-

I doubt you will find that either interesting or challenging

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Well I must applaud your showing up at all but that was hardly a constructive answer..

I do find it interesting to test a modified CAPM vs the traditional CAPM and see if it outperforms the widely used model.. As we all know, stock returns are seldom symmetric around the mean so perhaps another measure rather than variance is in order when pricing securities?

As for the challenging part.. well, that is where I could use some help on finding the right approach to go by it..

Could you elaborate on your comment at least?

First I doubt there is much interest here on the technicalities so I am not surprised about the lack of answers. For the others reading see; Post-modern portfolio theory - Wikipedia, the free encyclopedia on the topic.

Personally I find the technical aspects overblown but since you are writting a professional paper you may see that differently, my argument against picking the topic is that I feel that such topic has been extensively visited already. (http://www.actuaries.org/AFIR/colloq...guson_Rom.pdf; http://www.fcva.net/Documents%20and%...%20Theory.pdf: Post-Modern Portfolio Theory Comes of Age: The Journal of Investing to just refer to a few older articles). With CIMA and others adding it to the general curriculum (CIMA Adds Post-Modern Portfolio Theory To Curriculum) it is part of the general analyst exam for certification; in that situation there is plenty of literature, so whatever you do will be a repeat in one or the other facett. If you look at the paper at http://www.isectors.com/pdf/Practical_App_PMPT.pdf most is already said.

In such circumstances I believe the work on such a paper will not be very satisfying, but hey its your choice and if you want to do something which does not stand to far out (I remember the users of portfolio analysts are general a conservative bunch who do not like rocked boats) you may be right and I may be wrong.

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you may find more attention on that topic in the Wilmott Forums at Wilmott Forums - General Forum

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Thanks a lot, your feedback is very much appreciated... I will have a look at those links you posted.. And I'm not very acquainted with the forums on finance out there, so I will definitely visit the Wilmott Forums as well...

I have another 2 weeks to decide the topic for my master thesis and I would like it to be somewhat original.. If you have any other ideas I would be happy to hear them..