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College of Commerce, University of Illinois at Urbana-Champaign.
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Derivation of the Capital Asset Pricing Model without Normality or Quadratic Preference: A Note
Article first published online: 30 APR 2012
DOI: 10.1111/j.1540-6261.1985.tb02398.x
1985 The American Finance Association
Additional Information
How to Cite
KWON, Y. K. (1985), Derivation of the Capital Asset Pricing Model without Normality or Quadratic Preference: A Note. The Journal of Finance, 40: 1505–1509. doi: 10.1111/j.1540-6261.1985.tb02398.x
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College of Commerce, University of Illinois at Urbana-Champaign.
Publication History
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
- Abstract
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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.