Track: Engineering Economy

Abstract

Establishment of general equilibrium models allow us to determine the relevant measure of investment risk, and determine how the relationship between investment risk for any assets when capital markets are in balance. In a balanced market conditions, the correlation between expected return of a risky asset with the asset risk can be modeled with the CAPM. In CAPM, change risky asset returns are influenced by the market return and the return of risk-free assets, which is a risk-free asset return is the lowest gain required in investing. The problem that arises is why do not gain the required lows is not based on a risk-free asset. In this paper studied the determination of asset returns based on some form of CAPM which refers to zakat, NGDP, inflation, and the price of gold (GP). Based on the study results obtained by the return of assets is determined based form of ICAPM, NGDP-CAPM, Inf-CAPM, and GP-CAPM. So with by some form of the CAPM can be used as a measure of determining asset returns and investment risk that is relevant.