Equilibrium in a Capital Asset Market

Abstract

This paper investigates the properties of a for risky assets on the basis of a simple model of general equilibrium of exchange, where individual investors seek to maximize preference functions over expected yield and variance of yield on their port- folios. A theory of risk premiums is outlined, and it is shown that general equilibrium implies the existence of a so-called market line, relating per dollar expected yield and standard deviation of yield. The concept of price of risk is discussed in terms of the slope of this line.

Cite this paper

Related papers

1. The Pricing of Options and Corporate Liabilities1973
2. CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1964
3. On Persistence in Mutual Fund Performance1997
4. The Cross‐Section of Expected Stock Returns1992
5. Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency1993