Skip to Main content Skip to Navigation
Conference papers

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".
Document type :
Conference papers
Complete list of metadata

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

File

Generalized_Market_Equilibrium...
Files produced by the author(s)

Identifiers

  • HAL Id : inria-00592310, version 1

Collections

Citation

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

Share

Metrics

Record views

380

Files downloads

187