A capital asset pricing model under stable Paretian distributions in a pure exchange economy

被引：1

作者：

Wang X.-H. ^{[1
]}

Wen Z.-X. ^{[1
]}

Huang Z. ^{[2
]}

机构：

[1] Department of Mathematics, Wuhan University

[2] IAS, Wuhan University, Wuhan

来源：

Acta Mathematicae Applicatae Sinica | 2004年 / 20卷 / 4期

关键词：

CAPM; Equilibrium; Exchange economy; Stable Paretian distribution;

D O I：

10.1007/s10255-004-0205-8

中图分类号：

学科分类号：

摘要：

In this paper, we established a Capital Asset Pricing Model (CAPM) subject to the assumption that the asset return rates obey symmetric stable Paretian distributions. This assumption seems to be closer to reality than the standard ones such as normality or finite variance. Conclusion similar to the original CAPM formula is drawn in this paper. © Springer-Verlag 2004.

引用

页码：675 / 684

页数：9

共 14 条

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