Necessary conditions for the CAPM
成果类型：
Article
署名作者：
Berk, JB
刊物名称：
JOURNAL OF ECONOMIC THEORY
ISSN/ISSBN：
0022-0531
DOI：
10.1006/jeth.1996.2218
发表日期：
1997
页码：
245-257
关键词：
摘要：
The general restrictions on all economic primitives (i.e., (a) endowments, (b) preferences, and (c) asset return distributions) that yield the CAPM under the expected utility paradigm are provided. These results are then used to derive the class of restrictions on preferences and the distribution of asset returns alone that provides the CAPM. We also show that the conditions that provide the CAPM and derived preferences over mean and variance are equivalent. Consequently, this paper also resolves the question of when mean-variance maximization is consistent with expected utility maximization. (C) 1997 Academic Press.