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Functional Forms of the Capital Asset Pricing Model under Different Market Risk Regimes

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  • Ang, James S
  • Lai, Tsong-Yue

Abstract

This paper demonstrates that, given the assumption that asset retur ns are generated by the linear market model, the same functional form for the capital asset pricing model can be derived via the simpler linear programming approach for the risk-averse, risk-neutral, and risk-loving market regimes. Copyright 1988 by MIT Press.

Suggested Citation

  • Ang, James S & Lai, Tsong-Yue, 1988. "Functional Forms of the Capital Asset Pricing Model under Different Market Risk Regimes," The Financial Review, Eastern Finance Association, vol. 23(3), pages 345-350, August.
    • Handle: RePEc:bla:finrev:v:23:y:1988:i:3:p:345-50
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