Title

Derivation of the Capital Asset Pricing Model without Normality or Quadratic Preference: A Note

Publication Type

Journal Article

Publication Date

1985

Abstract

Derivation of the capital asset pricing model requires various assumptions including normality or quadratic preference. The objective of this note is to show that the normality or quadratic preference assumption can be replaced by the fair game condition that assets' residual returns have zero mean conditional upon the return of the market portfolio.

Discipline

Accounting | Applied Mathematics

Research Areas

Financial Performance Analysis

Publication

Journal of Finance

Volume

40

Issue

5

First Page

1505

Last Page

1509

ISSN

0022-1082

Identifier

10.2307/2328128

Publisher

Wiley