Matches in SemOpenAlex for { <https://semopenalex.org/work/W127691546> ?p ?o ?g. }
Showing items 1 to 69 of
69
with 100 items per page.
- W127691546 abstract "The general restrictions on all economic primitives (for example, (a) endowments, (b) preferences and (c) asset return distributions) that yield either the CAPM or derived preferences over mean and variance alone in equilibrium are provided. These results are then used to derive necessary and sufficient conditions on preferences and the distribution of asset returns alone that provide the CAPM. In particular we show that the CAPM can hold in the class of polynomial utility functions and pseudo-elliptical asset return distributions. This class includes the already known conditions under which the CAPM holds (quadratic utility or two-fund separating distributions). Furthermore, we show that the CAPM cannot hold for analytic utility functions and return distributions that are not in this class. Unfortunately, this class of restrictions is no more appealing, empirically, than the already well known restrictions that provide the CAPM. Consequently, this paper shows that no set of empirically appealing conditions on primitives exist that can provide the CAPM." @default.
- W127691546 created "2016-06-24" @default.
- W127691546 creator A5062751059 @default.
- W127691546 date "1999-09-07" @default.
- W127691546 modified "2023-09-28" @default.
- W127691546 title "Necessary and Sufficient Conditions for the CAPM" @default.
- W127691546 hasPublicationYear "1999" @default.
- W127691546 type Work @default.
- W127691546 sameAs 127691546 @default.
- W127691546 citedByCount "4" @default.
- W127691546 countsByYear W1276915462013 @default.
- W127691546 countsByYear W1276915462016 @default.
- W127691546 crossrefType "posted-content" @default.
- W127691546 hasAuthorship W127691546A5062751059 @default.
- W127691546 hasConcept C106159729 @default.
- W127691546 hasConcept C149782125 @default.
- W127691546 hasConcept C154611145 @default.
- W127691546 hasConcept C154945302 @default.
- W127691546 hasConcept C162324750 @default.
- W127691546 hasConcept C177264268 @default.
- W127691546 hasConcept C181236170 @default.
- W127691546 hasConcept C199360897 @default.
- W127691546 hasConcept C2777212361 @default.
- W127691546 hasConcept C2780821815 @default.
- W127691546 hasConcept C30755413 @default.
- W127691546 hasConcept C38652104 @default.
- W127691546 hasConcept C41008148 @default.
- W127691546 hasConcept C76178495 @default.
- W127691546 hasConceptScore W127691546C106159729 @default.
- W127691546 hasConceptScore W127691546C149782125 @default.
- W127691546 hasConceptScore W127691546C154611145 @default.
- W127691546 hasConceptScore W127691546C154945302 @default.
- W127691546 hasConceptScore W127691546C162324750 @default.
- W127691546 hasConceptScore W127691546C177264268 @default.
- W127691546 hasConceptScore W127691546C181236170 @default.
- W127691546 hasConceptScore W127691546C199360897 @default.
- W127691546 hasConceptScore W127691546C2777212361 @default.
- W127691546 hasConceptScore W127691546C2780821815 @default.
- W127691546 hasConceptScore W127691546C30755413 @default.
- W127691546 hasConceptScore W127691546C38652104 @default.
- W127691546 hasConceptScore W127691546C41008148 @default.
- W127691546 hasConceptScore W127691546C76178495 @default.
- W127691546 hasLocation W1276915461 @default.
- W127691546 hasOpenAccess W127691546 @default.
- W127691546 hasPrimaryLocation W1276915461 @default.
- W127691546 hasRelatedWork W176377053 @default.
- W127691546 hasRelatedWork W1831995381 @default.
- W127691546 hasRelatedWork W1976413713 @default.
- W127691546 hasRelatedWork W198266727 @default.
- W127691546 hasRelatedWork W2000829830 @default.
- W127691546 hasRelatedWork W2001633842 @default.
- W127691546 hasRelatedWork W2045744595 @default.
- W127691546 hasRelatedWork W2053475462 @default.
- W127691546 hasRelatedWork W2103002266 @default.
- W127691546 hasRelatedWork W2107072846 @default.
- W127691546 hasRelatedWork W2137400145 @default.
- W127691546 hasRelatedWork W2142504616 @default.
- W127691546 hasRelatedWork W2165648834 @default.
- W127691546 hasRelatedWork W2257527191 @default.
- W127691546 hasRelatedWork W2271089938 @default.
- W127691546 hasRelatedWork W2278226783 @default.
- W127691546 hasRelatedWork W2609747183 @default.
- W127691546 hasRelatedWork W2952420168 @default.
- W127691546 hasRelatedWork W3022889008 @default.
- W127691546 hasRelatedWork W3125981384 @default.
- W127691546 isParatext "false" @default.
- W127691546 isRetracted "false" @default.
- W127691546 magId "127691546" @default.
- W127691546 workType "article" @default.