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

  • Author(s): YOUNG K. KWON
  • Published: Apr 30, 2012
  • Pages: 1505-1509
  • DOI: 10.1111/j.1540-6261.1985.tb02398.x

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.

Jump to menu

Main Navigation

Search the Site / Journal

Search Keywords

Search Tips

Members' Login

Credentials

Members' Options

Site Footer

View Mobile Version