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Asset Pricing Under a Subset of Linear Risk Tolerance Functions and Log-Normal Market Returns
Published online by Cambridge University Press: 06 April 2009
Extract
The Capital Asset Pricing Model (CAPM) developed and popularized by Treynor [27], Sharpe [26], Lintner [16], Mossin [19], and Fama [6] is of the form
where
E is the expected return at time t for firm i (conditional on information available at time t); the subscript m denotes the analogous market variable; rf is the risk-free rate; and
. Black [2] has developed a similar form with expected returns from a zero beta portfolio,
, assuming the role of the risk-free rate.
- Type
- Research Article
- Information
- Journal of Financial and Quantitative Analysis , Volume 15 , Issue 5 , December 1980 , pp. 1041 - 1061
- Copyright
- Copyright © School of Business Administration, University of Washington 1980
References
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