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	Does the modified prospect theory consist with CAPM?
	Liu, Weifang ; Han, Xiaoxue ; Han XX(韩晓雪)
	2014
关键词	Commerce Normal distribution
英文摘要	Conference Name:2013 International Conference on Services Science and Services Information Technology, SSSIT 2013. Conference Address: Wuhan, China. Time:November 7, 2013 - November 8, 2013.; WIT Transactions on Information and Communication Technologies; In this paper, we propose a new stochastic dominance criterion. We call it the modified prospect stochastic dominance (MPSD). As we show in this paper, MPSD is based on the framework of modified prospect theory. In order to analyze the MPSD clearer, we derive the equivalent expression of MPSD rule in the form of return distribution and give a detailed proof. At last, we analyze whether the modified prospect theory is consistent with capital asset pricing model (CAPM). We get the conclusions as follows: Based on the normally distributed returns, if the equilibrium of the financial market exists, the security market line theorem and CAPM holds. ? 2014 WIT Press.
语种	英语
出处	http://dx.doi.org/10.2495/SSSIT2013
出版者	WITPress
内容类型	其他
源URL	[http://dspace.xmu.edu.cn/handle/2288/85641]
专题	经济学院－会议论文
推荐引用方式 GB/T 7714	Liu, Weifang,Han, Xiaoxue,Han XX. Does the modified prospect theory consist with CAPM?. 2014-01-01.

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