Generalized Market Equilibrium: "Stable" CAPM - Inria - Institut national de recherche en sciences et technologies du numérique Accéder directement au contenu
Communication Dans Un Congrès Année : 1995

Generalized Market Equilibrium: "Stable" CAPM

Résumé

Our main purpose in this paper is to derive the generalized equilibrium relationship between risk and return under the assumption that the asset returns follow a joint symmetric stable distribution. We show that equilibrium rates of return on all risky assets are functions of their covariation with the market portfolio. The "stable" CAPM highlights a new measure of the quantity of risk which may be interpreted as a "generalized beta coefficient".
Fichier principal
Vignette du fichier
Generalized_Market_Equilibrium-_22Stable_22_CAPM.pdf (7.31 Mo) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)

Dates et versions

inria-00592310 , version 1 (12-05-2011)

Identifiants

  • HAL Id : inria-00592310 , version 1

Citer

Lotfi Belkacem, Jacques Lévy Véhel, Christian Walter. Generalized Market Equilibrium: "Stable" CAPM. AFFI - International Conference of Finance, Jun 1995, Bordeaux, France. ⟨inria-00592310⟩

Collections

INRIA INRIA2
187 Consultations
297 Téléchargements

Partager

Gmail Facebook X LinkedIn More