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
Citation
KWON, Young Koan.
Derivation of the Capital Asset Pricing Model without Normality or Quadratic Preference: A Note. (1985). Journal of Finance. 40, (5), 1505-1509.
Available at: https://ink.library.smu.edu.sg/soa_research/728
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