On the Distributional Conditions for a Consumption‐oriented Three Moment CAPM
推导了概率分布的充分条件，使得基于均值、方差和偏度的三矩消费导向资本资产定价模型能正确定价部分资产，对研究资产定价和风险偏好的学者有参考价值。
ABSTRACT In this paper, we develop sufficient conditions on probability distributions for a three moment (mean, variance, and skewness) consumption‐oriented capital asset pricing model (CAPM) to price correctly a subset of assets. The assumptions that individuals in an allocationally efficient capital market have identical probability beliefs and monotone increasing strictly concave utility functions displaying nonincreasing absolute risk aversion imply an aggregate preference function that exhibits preference for expected return, aversion to variance of return, and preference for positive skewness. For otherwise arbitrary preferences, we show that quadratic characteristic lines are sufficient for a subset of assets to be priced according to a three moment consumption‐oriented CAPM.