Derivation of the Capital Asset Pricing Model without Normality or Quadratic Preference: A Note
Derivation of the capital asset pricing model requires various assumptions including normality or quadratic preference. The objective of this note is to show that the normality or quadratic preference assumption can be replaced by the fair game condition that assets' residual returns have zero...
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| التنسيق: | text |
| اللغة: | English |
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Institutional Knowledge at Singapore Management University
1985
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| الوصول للمادة أونلاين: | https://ink.library.smu.edu.sg/soa_research/728 http://www.jstor.org/stable/2328128 |
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sg-smu-ink.soa_research-17272010-09-22T15:00:06Z Derivation of the Capital Asset Pricing Model without Normality or Quadratic Preference: A Note KWON, Young Koan Derivation of the capital asset pricing model requires various assumptions including normality or quadratic preference. The objective of this note is to show that the normality or quadratic preference assumption can be replaced by the fair game condition that assets' residual returns have zero mean conditional upon the return of the market portfolio. 1985-12-01T08:00:00Z text https://ink.library.smu.edu.sg/soa_research/728 info:doi/10.2307/2328128 http://www.jstor.org/stable/2328128 Research Collection School Of Accountancy eng Institutional Knowledge at Singapore Management University Accounting Applied Mathematics |
| institution |
Singapore Management University |
| building |
SMU Libraries |
| continent |
Asia |
| country |
Singapore Singapore |
| content_provider |
SMU Libraries |
| collection |
InK@SMU |
| language |
English |
| topic |
Accounting Applied Mathematics |
| spellingShingle |
Accounting Applied Mathematics KWON, Young Koan Derivation of the Capital Asset Pricing Model without Normality or Quadratic Preference: A Note |
| description |
Derivation of the capital asset pricing model requires various assumptions including normality or quadratic preference. The objective of this note is to show that the normality or quadratic preference assumption can be replaced by the fair game condition that assets' residual returns have zero mean conditional upon the return of the market portfolio. |
| format |
text |
| author |
KWON, Young Koan |
| author_facet |
KWON, Young Koan |
| author_sort |
KWON, Young Koan |
| title |
Derivation of the Capital Asset Pricing Model without Normality or Quadratic Preference: A Note |
| title_short |
Derivation of the Capital Asset Pricing Model without Normality or Quadratic Preference: A Note |
| title_full |
Derivation of the Capital Asset Pricing Model without Normality or Quadratic Preference: A Note |
| title_fullStr |
Derivation of the Capital Asset Pricing Model without Normality or Quadratic Preference: A Note |
| title_full_unstemmed |
Derivation of the Capital Asset Pricing Model without Normality or Quadratic Preference: A Note |
| title_sort |
derivation of the capital asset pricing model without normality or quadratic preference: a note |
| publisher |
Institutional Knowledge at Singapore Management University |
| publishDate |
1985 |
| url |
https://ink.library.smu.edu.sg/soa_research/728 http://www.jstor.org/stable/2328128 |
| _version_ |
1770568979536936960 |