Capital market equilibrium in a mean-lower partial moment framework

摘要: In this paper, we develop a Capital Asset Pricing Model (CAPM) using mean-lower partial moment framework. We explicitly derive formulae for the equilibrium values of risky assets that hold arbitrary probability distributions. show when distributions and portfolio returns are either normal, stable (with same characteristic exponent between 1 2 skewness parameter, not necessarily zero), or Student-t distributions, our CAPM reduces to traditional mean-scale CAPM's. Consequently, since models special cases model, framework is guaranteed do at least as well in explaining market data. As an application theory, acceptance criterion capital investment projects note corporate finance theory results developed, example, well-known mean- variance carry over