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Necessary Conditions for the CAPM

  • Berk, Jonathan B.
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    File URL: http://www.sciencedirect.com/science/article/B6WJ3-45KV13P-14/2/f112da5891bc223deab37a1af3781134
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    Article provided by Elsevier in its journal Journal of Economic Theory.

    Volume (Year): 73 (1997)
    Issue (Month): 1 (March)
    Pages: 245-257

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    Handle: RePEc:eee:jetheo:v:73:y:1997:i:1:p:245-257
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/622869

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    1. Meyer, Jack, 1987. "Two-moment Decision Models and Expected Utility Maximization," American Economic Review, American Economic Association, vol. 77(3), pages 421-30, June.
    2. Nielsen, Lars Tyge, 1990. "Existence of equilibrium in CAPM," Journal of Economic Theory, Elsevier, vol. 52(1), pages 223-231, October.
    3. Allingham, Michael, 1991. "Existence Theorems in the Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 59(4), pages 1169-74, July.
    4. Owen, Joel & Rabinovitch, Ramon, 1983. " On the Class of Elliptical Distributions and Their Applications to the Theory of Portfolio Choice," Journal of Finance, American Finance Association, vol. 38(3), pages 745-52, June.
    5. Black, Fischer, 1972. "Capital Market Equilibrium with Restricted Borrowing," The Journal of Business, University of Chicago Press, vol. 45(3), pages 444-55, July.
    6. Ross, Stephen A., 1978. "Mutual fund separation in financial theory--The separating distributions," Journal of Economic Theory, Elsevier, vol. 17(2), pages 254-286, April.
    7. Levy, H & Markowtiz, H M, 1979. "Approximating Expected Utility by a Function of Mean and Variance," American Economic Review, American Economic Association, vol. 69(3), pages 308-17, June.
    8. Ross, Stephen A, 1978. "The Current Status of the Capital Asset Pricing Model (CAPM)," Journal of Finance, American Finance Association, vol. 33(3), pages 885-901, June.
    9. Chipman, John S, 1973. "The Ordering of Portfolios in Terms of Mean and Variance," Review of Economic Studies, Wiley Blackwell, vol. 40(2), pages 167-90, April.
    10. Cass, David & Stiglitz, Joseph E., 1970. "The structure of investor preferences and asset returns, and separability in portfolio allocation: A contribution to the pure theory of mutual funds," Journal of Economic Theory, Elsevier, vol. 2(2), pages 122-160, June.
    11. Nielsen, Lars Tyge, 1990. "Equilibrium in CAPM without a Riskless Asset," Review of Economic Studies, Wiley Blackwell, vol. 57(2), pages 315-24, April.
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