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	Mean-Preserving-Spread Risk Aversion and The CAPM
	Phelim P. Boyle ; Chenghu Ma
	2013-11-08
出处	http://www.wise.xmu.edu.cn/paperInfor.asp?id=39
关键词	CAPM equilibrium two-fund separation generalized efficient portfolio MPS-risk-aversion.
英文摘要	This paper establishes conditions under which the classical CAPM holds in equilibrium. Our derivation uses simple arguments to clarify and extend results available in the literature. We show that if agents are risk averse in the sense of mean-preserving-spread (MPS) the CAPM will necessarily hold, along with two-fund separation. We derive this result without imposing any distributional assumptions on asset returns. The CAPM holds even when the market contains an infinite number of securities and when investors only hold finite portfolios. Our paper complements the results of Duffie(1988) who provided an derivation of the CAPM under some somewhat more technical assumptions. In addition we use simple arguments to prove the existence of equilibrium with MPS-risk-averse investors without assuming that the market is complete. Our proof does not require any additional restrictions on the asset returns, except that the co-variance matrix for the returns on the risky securities is non-singular.
语种	中文
内容类型	研究报告
源URL	[http://dspace.xmu.edu.cn/handle/2288/56861]
专题	王亚南院－工作文稿
推荐引用方式 GB/T 7714	Phelim P. Boyle,Chenghu Ma   . Mean-Preserving-Spread Risk Aversion and The CAPM. 2013.

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