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

• المؤلف الرئيسي: KWON, Young Koan
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 1985
• الموضوعات: Accounting; Applied Mathematics
• الوصول للمادة أونلاين: 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...