Portfolio Behaviour and Asset Pricing in a Characteristics Framework
AbstractThis paper argues that the characteristics model of demand provides a unifying framework for examining preference-based asset portfolio behavior and asset pricing. In particular, the author shows that it encompasses a number of very familiar models of portfolio behavior and asset pricing: the state-preference model, the parameter-preference model, the capital asset pricing model, and the intertemporal capital asset pricing model. Copyright 1990 by Scottish Economic Society.
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Bibliographic InfoArticle provided by Scottish Economic Society in its journal Scottish Journal of Political Economy.
Volume (Year): 37 (1990)
Issue (Month): 4 (November)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0036-9292
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