Some results in the CAPM with nontraded endowments

• 成果类型: Article
• 署名作者: Oh, GT
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.42.2.286
• 发表日期: 1996
• 页码: 286-293
• 关键词: capital asset pricing model; incomplete markets; Security market line; Mean-variance analysis

摘要

The paper establishes a positive security market line in the CAPM with nontraded endowments. The effects of a market structure change on the security market line are analyzed when the equilibrium allocation is affected by the change.