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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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
1985
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soa_research/728 http://www.jstor.org/stable/2328128 |
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| Institution: | Singapore Management University |
| Language: | English |