Access the full text.
Sign up today, get DeepDyve free for 14 days.
A. Beja (1972)
On Systematic and Unsystematic Components of Financial RiskJournal of Finance, 27
Richard Roll (1969)
Bias in Fitting the Sharpe Model to Time Series DataJournal of Financial and Quantitative Analysis, 4
E. Fama (1968)
RISK, RETURN AND EQUILIBRIUM: SOME CLARIFYING COMMENTSJournal of Finance, 23
W. Madow, T. Anderson (1959)
An Introduction to Multivariate Statistical Analysis
M. Jensen (1972)
Capital Markets: Theory and EvidenceHarvard Business School: Negotiation
M. Jensen, F. Black, Myron Scholes (2006)
The Capital Asset Pricing Model: Some Empirical TestsCapital Markets: Asset Pricing & Valuation
W. Sharpe (1964)
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*Journal of Finance, 19
Michael Michael (Autumn, 1972)
“Capital Markets: Theory and Evidence,”Bell Journal of Economics and Management Science, 3
J. Lintner (1965)
SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATIONJournal of Finance, 20
I. THE TWO-PARAMETER MODEL In the Sharpe-Lintner model, the capital market is assumed to be perfect in the sense that investors are price-takers, and there are no transactions costs, information costs, or taxes. Investors are assumed to behave as if they choose among portfolios on the basis of maximum expected utility. Moreover, given the amount of funds to be invested, the expected utility associated with any portfolio is assumed to be solely a function of the mean and variance of the distribution of the one-period percentage return on the portfolios. This can be shown to imply either that investor utility functions are well approximated by quadratic functions of percentage return or that the joint distribution of the one-period percentage returns on assets is multivariate normal.' The marginal expected utility of expected return is assumed to be positive, and investors are assumed to be risk-averse in the sense-that the marginal expected utility of variance of return is negative. These assumptions imply the efficient set theorem: The optimal portfolio for any investor must be efficient in the sense that no other portfolio with the same or higher expected return has lower variance of return. To get testable implications about the
The Journal of Finance – Wiley
Published: Dec 1, 1973
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.