Abstract
This paper investigates the properties of a for risky assets on the basis of a simple model of general equilibrium of exchange, where individual investors seek to maximize preference functions over expected yield and variance of yield on their port- folios. A theory of risk premiums is outlined, and it is shown that general equilibrium implies the existence of a so-called market line, relating per dollar expected yield and standard deviation of yield. The concept of price of risk is discussed in terms of the slope of this line.
Keywords
EconomicsAsset (computer security)Capital asset pricing modelCapital (architecture)Financial economicsConsumption-based capital asset pricing modelMonetary economicsGeographyComputer science
Related Publications
An Intertemporal Capital Asset Pricing Model
An intertemporal model for the capital market is deduced from the portfolio selection behavior by an arbitrary number of investors who aot so to maximize the expected utility o...
SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION*
Sections II and III of this paper set forth the simple logic which leads directly to the determination of explicit equilibrium prices of risk assets traded in competitive market...
A Capital Asset Pricing Model with Time-Varying Covariances
The capital asset pricing model provides a theoretical structure for the pricing of assets with uncertain returns. The premium to induc e risk-averse investors to bear risk is p...
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
One of the problems which has plagued those attempting to predict the behavior of capital markets is the absence of a body of positive microeconomic theory dealing with conditio...
On Divergence of Opinion and Imperfections in Capital Markets
importance of divergence of opinion the functioning of capital markets was recognized by early economic writers. In the prevailing models of capital markets, however, differenc...
Publication Info
- Year
- 1966
- Type
- article
- Volume
- 34
- Issue
- 4
- Pages
- 768-768
- Citations
- 4835
- Access
- Closed
External Links
Social Impact
Altmetric
PlumX Metrics
Social media, news, blog, policy document mentions
Citation Metrics
4835
OpenAlex
Cite This
Jan Mossin
(1966).
Equilibrium in a Capital Asset Market.
Econometrica
, 34
(4)
, 768-768.
https://doi.org/10.2307/1910098
Identifiers
- DOI
- 10.2307/1910098