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".
Domaines
Probabilités [math.PR]
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Generalized_Market_Equilibrium-_22Stable_22_CAPM.pdf (7.31 Mo)
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