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".
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Communication dans un congrès
AFFI - International Conference of Finance, Jun 1995, Bordeaux, France. 1995
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Soumis le : jeudi 12 mai 2011 - 05:13:22
Dernière modification le : vendredi 25 mai 2018 - 12:02:05
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Lotfi Belkacem, Jacques Lévy Véhel, Christian Walter. Generalized Market Equilibrium: "Stable" CAPM. AFFI - International Conference of Finance, Jun 1995, Bordeaux, France. 1995. 〈inria-00592310〉

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