The Capital Asset Pricing Model with Diverse Holding Periods
研究在离散时间交易且风险厌恶投资者持有期不同的条件下，资本资产定价模型（CAPM）成立的四种情形，包括二次偏好、多期非正态收益、对数正态终期财富等。
Assuming that assets are traded in discrete time and that risk averse investors differ in their holding periods, we investigate the conditions under which the CAPM holds. It is shown that when portfolio rebalancing is allowed the CAPM holds in four cases not rigorously analyzed previously. These four cases are: (a) quadratic preferences; (b) one-period normal distributions when utility is defined on the multiperiod terminal wealth which is not normal; (c) the terminal wealth is log-normally distributed; and (d) the terminal wealth W T is normally distributed, but in this case diverse holding periods are not allowed. Case d is similar to the Sharpe-Lintner model with the exception that T − 1 revisions are allowed.