The Capital Asset Pricing Model with Diverse Holding Periods

DOI10.1287/MNSC.38.11.1529zbMATH Open0765.90013OpenAlexW2003912439MaRDI QIDQ4032485FDOQ4032485

Authors: Haim Levy, Paul A. Samuelson 

Publication date: 1 April 1993

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.38.11.1529

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zbMATH Keywords

stochastic dominancecapital asset pricing modelportfolio rebalancingquadratic preferences

Mathematics Subject Classification ID

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

Cited In (3)

• The instantaneous capital market line
• Correlation and the time interval over which the variables are measured
• An inter-temporal CAPM based on first order stochastic dominance

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