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 FerminConnect in order to contact the contributor Submitted on : Thursday, May 12, 2011 - 5:13:22 AM Last modification on : Monday, June 27, 2022 - 1:31:07 PM Long-term archiving on: : Saturday, August 13, 2011 - 2:27:48 AM
Lotfi Belkacem, Jacques Lévy Véhel, Christian Walter. Generalized Market Equilibrium: "Stable" CAPM. AFFI - International Conference of Finance, Jun 1995, Bordeaux, France. ⟨inria-00592310⟩