Necessary conditions for the CAPM

DOI10.1006/jeth.1996.2218zbMath0872.90014OpenAlexW2037329921MaRDI QIDQ1357429

Jonathan B. Berk

Publication date: 10 June 1997

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/328b9706b65c5b704a48b01c9c499ce99fb6f5b8

zbMATH Keywords

capital asset pricing modelexpected utility maximizationmean-variance maximization

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items (24)

Determination and estimation of risk aversion coefficients ⋮ SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS ⋮ How risky is the optimal portfolio which maximizes the Sharpe ratio? ⋮ A test for the global minimum variance portfolio for small sample and singular covariance ⋮ Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation ⋮ A comparison of mean-variance efficiency tests ⋮ Active portfolio management with benchmarking: adding a value-at-risk constraint ⋮ Capital market equilibrium with heterogeneous investors ⋮ Approximate CAPM when preferences are CRRA ⋮ Nonparametric estimation of multivariate elliptic densities via finite mixture sieves ⋮ Tests for conditional ellipticity in multivariate GARCH models ⋮ Conditions for a CAPM equilibrium with positive prices ⋮ Mean–variance efficient portfolios with many assets: 50% short ⋮ Testing for ellipsoidal symmetry: a comparison study ⋮ The Distribution of Stock Returns When the Market Is Up ⋮ Economically relevant preferences for all observed epsilon ⋮ Exact and asymptotic tests on a factor model in low and large dimensions with applications ⋮ A test for the weights of the global minimum variance portfolio in an elliptical model ⋮ Multivariate elliptically contoured autoregressive process ⋮ Aggregation, determinacy, and informational efficiency for a class of economies with asymmetric information ⋮ The econometrics of mean‐variance efficiency tests: a survey ⋮ Gains from diversification on convex combinations: a majorization and stochastic dominance approach ⋮ A critical look at the Aumann-Serrano and Foster-Hart measures of riskiness ⋮ An Actuarial Premium Pricing Model for Nonnormal Insurance and Financial Risks in Incomplete Markets

Cites Work

• Existence of equilibrium in CAPM
• A characterization of the distributions that imply mean-variance utility functions
• Mutual fund separation in financial theory - the separating distributions
• Equilibrium in CAPM without a Riskless Asset
• Existence Theorems in the Capital Asset Pricing Model
• The Ordering of Portfolios in Terms of Mean and Variance
• Unnamed Item

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