Term-Risk Structures and the Valuation of Projects
比较了资本预算中两种流行的估值方法：基于跨期资本资产定价模型的线性风险回报关系，以及完全市场下的资产复制定价法，并指出前者的严格假设限制。
emphasizing two separate approaches. One currently popular approach to capital budgeting is based on the simple linear relationship between risk and return from the intertemporal capital asset pricing model (CAPM) of Merton [20]. Papers in this category include Brennan [7], Bogue and Roll [4], Treynor and Black [26], Myers and Turnbull [21], Fama [15], Bhattacharya [2], and Constantinides [9]. The simplicity and intuitive plausibility of the security market line undoubtedly accounts for much of the popularity of the CAPM. Unfortunately, as noted recently by Fama [15], the intertemporal version of the CAPM commonly applied to capital budgeting problems requires many assumptions. In addition to the usual assumptions of no taxes, transaction costs, or indivisibilities in securities, the investment opportunity set must remain constant while the equili? brium prices of all securities must follow a geometric Wiener process. More? over, the only known alternative to the required constant opportunity set still producing the standard security market line is the assumption that all investors have logarithmic utilities of consumption. A second approach to capital budgeting popular in the recent literature values assets in a complete capital market. Most notably, Ross [23] prices a claim to a cash flow which can be replicated by a portfolio of traded securi? ties. In addition, Breeden and Litzenberger [6] develop conditions under which events determined by the path of aggregate consumption can be priced uniquely in a complete market with initial endowments and utilities dependent only on the