inria-00592310, version 1

Generalized Market Equilibrium: "Stable" CAPM

Lotfi Belkacem ¹, Jacques Lévy Véhel ¹, Christian Walter ²

AFFI - International Conference of Finance (1995)

• 1:  FRACTALES (INRIA Rocquencourt)
• http://fractales.inria.fr
  INRIA France
• 2:  Credit Lyonnais (GDRI/ RIIE)
• 
  Crédit Lyonnais 168 rue de Rivoli 75001 Paris Cedex France

Bibliographic reference

• Type of document: Peer-reviewed conferences/proceedings
• Domain: Mathematics/Probability
• Title: Generalized Market Equilibrium: "Stable" CAPM
• Abstract: 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".
• Full text language: English
• Publication date: 1995
• Audience: international
• Conference title: AFFI - International Conference of Finance
• Conference city: Bordeaux
• Country: France
• Conference date: 1995-06-29
• Conference date (end): 1995-07-01

Attached file list to this document: 

• inria-00592310, version 1
• http://hal.inria.fr/inria-00592310
• oai:hal.inria.fr:inria-00592310
• From: Lisandro Fermin <>
• Submitted on: Thursday, 12 May 2011 05:13:22
• Updated on: Tuesday, 17 May 2011 15:05:54