Derivation of the Capital Asset Pricing Model without Normality or Quadratic Preference: A Note

• 主要作者: KWON, Young Koan
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 1985
• 主題: Accounting; Applied Mathematics
• 在線閱讀: https://ink.library.smu.edu.sg/soa_research/728; http://www.jstor.org/stable/2328128

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...