Generalized Market Equilibrium: "Stable" CAPM
Belkacem, Lotfi ; Lévy Véhel, Jacques ; Walter, Christian
HAL, inria-00592310 / Harvested from HAL
Text on HAL
Our main purpose in this paper is to derive the generalized equilibrium relationship between risk and return under the assumption that the asset returns follow a joint symmetric stable distribution. We show that equilibrium rates of return on all risky assets are functions of their covariation with the market portfolio. The "stable" CAPM highlights a new measure of the quantity of risk which may be interpreted as a "generalized beta coefficient".
Publié le : 1995-06-29
Classification:  [MATH.MATH-PR]Mathematics [math]/Probability [math.PR] 
@article{inria-00592310,
     author = {Belkacem, Lotfi and L\'evy V\'ehel, Jacques and Walter, Christian},
     title = {Generalized Market Equilibrium: "Stable" CAPM},
     journal = {HAL},
     volume = {1995},
     number = {0},
     year = {1995},
     language = {en},
     url = {http://dml.mathdoc.fr/item/inria-00592310}
}

Belkacem, Lotfi; Lévy Véhel, Jacques; Walter, Christian. Generalized Market Equilibrium: "Stable" CAPM. HAL, Tome 1995 (1995) no. 0, . http://gdmltest.u-ga.fr/item/inria-00592310/