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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".
https://hal.inria.fr/inria-00592310
Contributor : Lisandro Fermin <>
Submitted on : Thursday, May 12, 2011 - 5:13:22 AM
Last modification on : Thursday, September 5, 2019 - 11:38:20 AM
Long-term archiving on: : Saturday, August 13, 2011 - 2:27:48 AM
Contributor : Lisandro Fermin <>
Submitted on : Thursday, May 12, 2011 - 5:13:22 AM
Last modification on : Thursday, September 5, 2019 - 11:38:20 AM
Long-term archiving on: : Saturday, August 13, 2011 - 2:27:48 AM
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